Abstract

This research seeks to investigate whether holidays affect the stock exchange of the multi-cultural country of Malaysia. By performing ordinary least squares analysis on data from the Bursa Malaysia main index from year 2001 to year 2010, it was found that returns during Christmas and Chinese New Year period were significantly higher. More specifically, there was a two-month market rally prior to the Chinese New Year. In addition, the excess return from the first trading day after Christmas to two trading days before New Year’s Day are positively significant. The effects of other holidays were not significant. Possible reasons of a lack of significant effects during important Islamic holidays such as Aidilfitri could be due to the Muslim’s lower participation in the stock market.

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