The existence of the holiday effect in the Nairobi Stock Exchange

Abstract

This study evaluates the impact of the holiday effect on the common share returns of companies listed on the NSE during the period 1st January 1998 to 1st December 2002. Daily mean returns of the days preceding holidays and other non-pre holiday days were compared. Results show that on a trading day prior to public holidays mean returns are 1.6 times returns of other days. However, the results are not significant. A comparison of pre holiday and post holiday mean returns produces similar results. Individual mean returns on six days surrounding holidays also show that pre holiday days have lower mean returns. The results therefore do not support the existence of the holiday effect in the NSE. This suggests that technical trading rules cannot be applied to attain superior trading results in the NSE.