Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 16, 2022 erstellt
Description:
In the financial research, it has always been a constant the discussion about the efficiency of financial markets and its implications in the performance evaluation. In this paper we continue this line of research by analyzing the weekend and holiday effect on the performance and volatility of the major stock markets in Europe: France (Euronext Paris), Spain (Madrid Stock Exchange), Germany (Frankfurt Stock Exchange) and Italy (Italian stock exchange). We use daily closing data of the respective stock markets; we analyze stock markets through a GARCH-M model to isolate the variations in the mean and variance of the returns that are attributable to the start of negotiations after the weekend. We find that Spain and Germany are the most efficient markets while the returns of Italy are very sensitive to the effects of holidays, possibly due to its small size companies, offering the possibility of anticipating returns above or below the average, showing that it is the most inefficient of the four countries analyzed