Calendar Effects on the Amsterdam Stock Exchange

For daily data on a value-weighted index of all shares in the Netherlands (1981-1998), we find abnormally high returns in the pre-Christmas period of the second half of December and around the turn of the month, whereas returns are negative and volatility is relatively high on the Mondays where the previous week's return is below zero. Furthermore, our evidence indicates the presence of an ARCH(1) effect. Our intraday results based on an equal-weighted index of the leading shares in the Netherlands (1986-1993) reveal a U-shaped return pattern over each trading day, Monday morning excluded. Moreover, our tests reveal repeated price adjustments mostly in the same direction around and over non-trading periods. We argue that the arrival of private information is affected by strategic and behavioral factors incompatible with the risk-return paradigm.