Thaler, R. H. (1987)發現在假期開始前,股市會有顯著的正報酬,高達非假日前的2倍以上,其研究認為會造成此現象的原因為假日前人們會情緒高漲,導致下單較不理性。雖然假日效果在論文公開後,其效果在美股市場也變得不再顯著,所幸在效率較差的亞洲市場,假日效應(holiday effect)的效果依舊顯著。
在Thaler, R. H. (1987)的研究,假日效果是由於投資人的情緒高漲,導致股價被不理性高估,在Teng, C. C., & Liu, V. W. (2013)也有發現類似的現象,其研究指出假日前之報酬與非假日之報酬差與投資人情緒是正相關,下圖為報酬與非假日之報酬差與用於量化投資人情緒的回歸結果:
Thaler, R. H. (1987). Anomalies: weekend, holiday, turn of the month, and intraday effects. Journal of Economic Perspectives, 1(2), 169-177.
Chong, R., Hudson, R., Keasey, K., & Littler, K. (2005). Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly. Journal of International Money and Finance, 24(8), 1226-1236.
Teng, C. C., & Liu, V. W. (2013). The pre-holiday effect and positive emotion in the Taiwan Stock Market, 1971–2011. Investment Analysts Journal, 42(77), 35-43.
Yuan, T., & Gupta, R. (2014). Chinese lunar New Year effect in Asian stock markets, 1999–2012. The Quarterly Review of Economics and Finance, 54(4), 529-537.
Yang, A. S. (2016). Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions. Emerging Markets Review, 28, 140-154.
Abidin, S., Banchit, A., Sun, S., & Tian, Z. (2012). Chinese New Year effects on stock returns: Evidence from Asia-Pacific stock markets. In Asian Finance Association 2012 International Conference, Taiwan (pp. 1-23).