The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or...

This paper examines the existence of daily seasonality in returns and volatilities in the wheat futures contract traded on the South African Futures Exchange (SAFEX). We use non-parametric and parametric-based techniques to study sample regimes before and after the peak in wheat prices which...