Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 17, 2005 erstellt
Beschreibung:
The liquidity patterns of investors provide a new common framework to explain the autocorrelation of returns and volumes, as well as some calendar anomalies. Festivities are occasions around which liquidity constraints are particularly relevant, leading to a quot;festivity effectquot;. This effect refers to a pre-festivity period of negative returns and relatively low trading activity and, once the occasion is over, a post-festivity period of positive returns and increased activity. We establish this effect for ten countries in the Middle- and Far-East where the main festivities occur every year at a different time of the Western calendar