Diferenças entre edições de "Efeito dos feriados"

Revisão das 06h44min de 13 de outubro de 2007

O Holiday effect (efeito dos feriados) refere-se à tendência dos mercados subirem nos dias que antecedem feriados.

Referências

• LAKONISHOK, Josef and Seymour SMIDT, 1988. Are seasonal anomalies real? A ninety-year perspective, The Review of Financial Studies, Vol. 1, No. 4. (Winter, 1988), pp. 403-425.

• ARIEL, R.A., 1990. High Stock Returns before Holidays: Existence and Evidence on Possible Causes, The Journal of Finance, Vol. 45, No. 5. (Dec., 1990), pp. 1611-1626.

• ARSAD, Zainudin and J. Andrew COUTTS. 1997. Security price anomalies in the London International Stock Exchange: a 60 year perspective, Applied Financial Economics, Volume 7, Number 5, 1 October 1997, pp. 455-464.

• MENEU, Vicente and Angel PARDO, 2004. Pre-holiday Effect, Large Trades and Small Investor Behaviour, Journal of Empirical Finance, Volume 11, Issue 2, March 2004, Pages 231-246.

• KIM, Chan-Wung and Jinwoo PARK, 1994. Holiday Effects and Stock Returns: Further Evidence, The Journal of Financial and Quantitative Analysis, Vol. 29, No. 1. (Mar., 1994), pp. 145-157.

• CADSBY, Charles Bram and Mitchell RATNER, 1992. Turn-of-month and pre-holiday effects on stock returns: Some international evidence, Journal of Banking & Finance, Volume 16, Issue 3, June 1992, Pages 497-509.

• LUCEY, B.M. and A. PARDO, 2005. Why investors should not be cautious about the academic approach to testing for stock market …. Applied Financial Economics 15(3) :165-171

• BROCKMAN, P., 1998. The persistent holiday effect: additional evidence. Applied Economics Letters.

• LIN, J.L. and T.S. LIU, 2002. Modeling Lunar Calendar Holiday Effects in Taiwan. Taiwan Economic Forecast and Policy.

• ECONOMICS, A.F., 2002. The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index …. Applied Financial Economics.

• REDMAN, Arnold L., Herman MANAKYAN and Kartono LIANO, 1997. Real Estate Investment Trusts and Calendar Anomalies. Journal of Real Estate Research.

• VERGIN, Roger C. and John McGINNIS 1999. Revisiting the Holiday Effect: is it on holiday?. Applied Financial Economics.

• ZIEMBA, W.T., 1990. Japanese Security Market Regularities: Monthly, Turn of the Month and Year, Holiday and Golden Week …. ideas.repec.org.

• LIANO, K., P.H. MARCHAND and G.C. HUANG, 1992. The holiday effect in stock returns: Evidence from the OTC market. Review of Financial Economics.

• TAKEI, A., et al., 2003. 'Drug holiday' effects of tandospirone in a patient with Machado-Joseph disease. Psychiatry and Clinical Neurosciences.

• HELLSTR?M, Thomas and Kenneth HOLMSTR?M, 1998. Predictable patterns in stock returns. mdh.se.

• PEARCE, Douglas K., 1996. The Robustness of Calendar Anomalies in Daily Stock Returns. Journal of Economics and Finance.

• BROCKMAN, P., 1995. A review and analysis of the holiday effect. Financial Markets, Institutions & Instruments.

• MERRILL, A.A., 1966. Behavior of Prices on Wall Street. Analysis Press.

• CHENG, S.W., 1996. The Impact of Holidays on the Trading Pattern of Australian Share Price Index Futures. Honours Dissertation, Department of Accounting and Finance, ….

• FIELDS, M.J., 1934. Security prices and stock exchange holidays in relation to short selling, The Journal of Business of the University of Chicago, Vol. 7, No. 4. (Oct., 1934), pp. 328-338.

• LIANO, K. and L.R. WHITE, 1994. Business Cycles and the Pre-holiday Effect in Stock Returns. Applied Financial Economics.

• KAM, S.W., 1995. … of Daily Foreign Exchange Rates with Non-normal Assumption and Day-of-the-week and Holiday Effects. Dept. of Economics, University of Queensland.

• HIRAKI, Takato and Edwin D. MABERLY, An Analysis of Japanese Stock Return Dynamics Conditional on US Monday Holiday Closures. papers.ssrn.com.

Principais contribuidores

Especial:Contributors/Holiday effect