Speculation around celebration: Holiday, January, and lottery stocks in Korea

초록

This study investigates the holiday effect in the Korean stock market, focusing on lottery-type stocks characterized by high maximum daily returns (MAX). We find that these stocks earn significantly elevated returns before multi-day holidays, reflecting intensified investor optimism. This pre-holiday run-up is particularly pronounced in stocks with high retail trading proportions, where the MAX spread rises sharply prior to the holiday. The post-holiday decline occurs more gradually and is more delayed when retail participation is high, suggesting a slower unwinding of sentiment-driven overpricing. In January, the correction is postponed even further, indicating that the seasonal investor sentiment associated with January amplifies and prolongs holiday-induced optimism. Our findings underscore the behavioral foundations of calendar anomalies, particularly the role of investor sentiment and market composition in shaping return dynamics.

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