Holiday effects and index returns: Evidences from the Indian stock market

The Holiday Effect Anomaly in stock returns is well-documented in financial literature. When a Calendar Anomaly is detected in stock returns, it is not always necessary that a trading rule, resulting from that anomaly, will be advantageous to the investors because of the impact of increased transaction costs. The Holiday Effect indicates that Pre-Holiday returns generate substantial percentage of the total return of the stock market while exhibiting below-average variation in returns. For the purpose of this study, the S&P CNX 500 Index data were collected and analyzed for a period of ten years. This study found that there was highest and insignificant Pre-Holiday Returns recorded during the study period.