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dc.contributor.advisorDodd, Olga
dc.contributor.advisorFrijins, Bart
dc.contributor.authorGakhovich, Alexander
dc.date.accessioned2011-09-26T23:16:51Z
dc.date.available2011-09-26T23:16:51Z
dc.date.copyright2011
dc.date.issued2011-09-27
dc.identifier.urihttp://hdl.handle.net/10292/2122
dc.description.abstractThe purpose of this study is to investigate the existence of the holiday effect in fourteen developing Central and Eastern European (CEE) financial markets. This study expands the literature on the developing financial markets and the holiday effect in the CEE. The findings show that the holiday effect is present in the CEE region, with a number of countries showing abnormal pre- and post- holiday returns. Contrary to the previous evidence, abnormal post-holiday returns are documented. The holiday effect is most significant during the earlier years of financial market operations. Significance of the anomaly has declined overtime since the opening of the CEE stock markets in the 1990’s, nevertheless, it is still present in some of the markets. Diminishing holiday effect suggests improved market efficiencies in the studied financial markets since the opening of stock exchanges. Analysis of the holiday effect by industry reveals that there is industry holiday effect in some of the markets. However, no single industry is driving the significant industry holiday returns. New Year and Christmas are most common holidays and they produce highest returns. Liquidity before holidays goes down. Lower liquidity leads to increased trading costs, suggesting that investors are unable to exploit the anomaly.
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.subjectHoliday effect
dc.subjectDeveloping
dc.subjectPre-holiday
dc.subjectPost-holiday
dc.subjectCentral Europe
dc.subjectEastern Europe
dc.titleThe holiday effect in the Central and Eastern European financial markets
dc.typeThesis
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Dissertations
thesis.degree.nameMaster of Business
dc.rights.accessrightsOpenAccess
dc.date.updated2011-09-25T23:17:27Z


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