Title: Santa Claus rally and American depository receipts: a note

Authors: Srinivas Nippani; Júlio Lobão

Addresses: College of Business, Texas A&M University-Commerce, P.O. Box 3011, Commerce, TX 75429, USA ' School of Economics and Management and CEF.UP, University of Porto, Rua Dr. Roberto Frias, 4200-464, Porto, Portugal

Abstract: Recent empirical evidence supports the presence of the Santa Claus rally, an intriguing market anomaly that produces above-average returns during the last five trading days of December and the first two trading days of January. This anomaly, one of the latest that goes against market efficiency, has been found to exist in several countries, including countries where Christmas holds less significance in the calendar year. This paper examines for the first time the existence of the anomaly in the American depository receipts (ADRs) market. By analysing data from four distinct periods spanning nearly 25 years, we demonstrate that the anomaly solely manifests in the long form, encompassing the first two trading days in January. Our findings are robust and carry significant implications for both practitioners and academics.

Keywords: market efficiency; anomalies; Santa Claus rally; American depository receipts; ADRs.

DOI: 10.1504/AAJFA.2025.144777

Afro-Asian Journal of Finance and Accounting, 2025 Vol.15 No.2, pp.265 - 276

Received: 26 Apr 2023
Accepted: 14 Jun 2023
Published online: 03 Mar 2025 *

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