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Holiday Effect on Stock Market Return: Evidence from Dhaka Stock Exchange (DSE)

The purpose of this paper is to examine the pre- and post-holiday returns the Dhaka Stock Exchange, leading stock exchange of Bangladesh. To conduct the study index value of two market indices have been collected, those are DSE general index (DSEX) and DSE 30 index (DS30), from the period of January 2013 to December 2017. On the other side, six fixed national holidays and two variable (religious) national holidays of Bangladesh are taken into consideration. The holidays are Shaheed (Martyr) day (21st February), Birthday of the father of the nation (17th March), Independence Day (26th March), Bengali New Year (14th April), National Mourning Day (15th August), Victory day (16th December) and two variable holidays are Eid-ul-Fitr and Eid-ul-Adha. The Wilcoxon signed rank test for a non-parametric statistical hypothesis test is used to compare the two sets of sample (pre- and post-holiday) of both DSEX and DS30 to identify their means rank difference. From the result, it is found that there are significant differences exist between pre- and post-holiday returns over the sample period, which also indicates that the DSE returns do not follow a random walk.