Holiday Trading in Futures Markets
发现期货合约在节前有显著更高的回报，且节前高回报伴随低交易量，在交易所休市假日最为明显；节后则出现正回报和高交易量，符合假日情绪假说。
ABSTRACT In this paper, we find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange‐closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange‐open holidays. This is consistent with positive holiday sentiments. The holiday effect is uniquely independent: The magnitude of excess holiday returns is the largest among all seasonal variations.