Speaker
Description
According to Adaptive Market Hypothesis (AMH), arbitrage possibilities occur intermittently in the stock market, and return predictions evolve with time. In line with AMH, this study investigates the effects of pre- and post-holiday effect for four festivals includes Eid al-Fitr, Christmas, Chinese New Year (CNY), and Diwali. Considering the importance of macroeconomic conditions on investment decisions, investors should monitor factors such as interest rates, inflation rates, and foreign exchange rates, as these significantly influence stock prices and overall market performance. Thus, this study incorporates these factors as control variables. By utilizing the Adaptive Market Hypothesis (AMH) and the Arbitrage Pricing Theory (APT), the current study analyzes time-series data using descriptive and regression analyses with dummy variables. The anticipated results align with the alternative hypotheses, suggesting that all selected variables will exert a significant effect on stock market prices. This study contributes to a better understanding of market behavior anomalies that can inform regulatory bodies and compliance officers in developing more responsive, risk-based market monitoring frameworks. The findings are relevant for enhancing financial governance, particularly in navigating policy decisions around trading suspensions, holiday disclosures, and investor protection.
