Download or read book Stock Returns Around Non-Trading Periods written by Ali C. Akyol and published by . This book was released on 2015 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine intraday stock returns in the Istanbul Stock Exchange (ISE) around non-trading periods - weekends and holidays - by utilizing the exchange's structure of two trading sessions. I find that returns are generally more positive in the last session on Fridays and more negative in the first session on Mondays. The results also indicate that the weekend effect has disappeared in the ISE in recent years. I further find some evidence that there is a relationship between the length of a holiday non-trading period and returns around it. The longer a non-trading period is, the more positive the returns are in the morning session before the holiday and the less positive the returns are in the morning session after the holiday. My findings indicate the importance of the uncertainty imposed on stock returns by the length of a non-trading period.