This research seeks to investigate whether holidays affect the stock exchange of the multi-cultural country of
Malaysia. By performing ordinary least squares analysis on data from the Bursa Malaysia main index from year
2001 to year 2010, it was found that returns during Christmas and Chinese New Year period were significantly
higher. More specifically, there was a two-month market rally prior to the Chinese New Year. In addition, the
excess return from the first trading day after Christmas to two trading days before New Year’s Day are positively
significant. The effects of other holidays were not significant. Possible reasons of a lack of significant effects
during important Islamic holidays such as Aidilfitri could be due to the Muslim’s lower participation in the stock
market.