"The road to a common non-trading calendar in the Eurozone has led to only a few holidays remaining as the sole pan-European stock market holidays. The new holiday schedule in the euro area has allowed us to study whether holiday effects persist or not, and whether they are a pan-European calendar anomaly or country-specific. Specifically, pre-holiday and post-holiday returns have been analysed in the context of the Eurozone for Eurostoxx 50, DAX 30, CAC 40 and IBEX 35 futures contracts for the period running between May 11, 1999 and May 10, 2012. It has been found that positive abnormal returns are linked to all the pre-holidays (with the exception of Spain, which shows statistical but not economic significance) and also to Eurostoxx and CAC post-holidays. Therefore, we have shown that the holiday effect is not country-specific and it should be treated as a pan-European calendar anomaly."

"We have proved that in pre- and post-holiday patterns the level of volatility is not higher than on the remaining days, and, therefore, the higher returns found are not associated with facing a higher level of risk. Indeed, there is a lower level of volatility in the pre-holiday pattern than on other days, but not for post-holiday days. Furthermore, we have also found that trading volume and turnover rates around holidays present significantly lower levels than the average. Therefore, our data is consistent with the hypothesis based on the clientele´s investment decisions that suggests that some clientele preferentially avoid selling on specific days."