Public holiday share price behaviour on the Johannesburg Stock Exchange

Abstract

This investigation evaluates the impact of the public holiday effect on the share returns of companies listed on the JSE during the period 1975–1990. On the trading day prior to holidays shares advance with disproportionate frequency and show mean returns averaging five times the mean returns for the remaining days of the year. Over one-fifth of the total return accruing to the market portfolio over the 1975–1990 period was earned on the nine trading days which fall each year before holiday market closings. The empirical evidence suggests that the pre-holiday return may, in part, be due to the simultaneous movements from “bid” to the “ask” price. The holiday effect appears to be related to the human tendency to bid up share prices prior to market closings for weekends and holidays.