European trading volumes on cross‐market holidays

There is anecdotal evidence of reduced trading volume in equity markets when other external markets are not trading. This phenomenon can be called the “cross‐market holiday effect,” and this study investigates it in detail, providing evidence for the existence of a strong cross‐market holiday effect in the pan‐European equity markets. The analysis provides an in‐depth examination of other aspects like lagged volumes, market capitalization, or...