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- W2035369739 abstract "Efficient markets tests look for anomalous market responses to publicly available information. One of the most obvious kinds of public information is what day it is, so calendar effects have been widely studied. This has turned up such now-familiar quirks as the January effect and the day of the week effect: odd market behavior associated with events that everyone knew were coming. In this article, Johnson and Cheng look at the behavior of futures on the Australian Share Price Index around holidays. First citing evidence from numerous other studies showing that stocks all over the world seem to exhibit unusually high returns just before major holidays, they then demonstrate that SPI futures do the same thing, even for regional holidays on which the exchange remains open. What is going on? Is it just investors9 rational exuberance over having a day off?" @default.
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- W2035369739 date "2002-05-31" @default.
- W2035369739 modified "2023-09-27" @default.
- W2035369739 title "Holidays and Trading and Return Patterns of Australian SPI Futures" @default.
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- W2035369739 doi "https://doi.org/10.3905/jod.2002.319186" @default.
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