EViews.com

L.S.

For our study we have to investigate whether there exist a santa claus effect in the stock returns from different countries. By making use of eviews 7.1 we will try to find a test method to see if the stock return in het period between cristmas and new year are significantly higher than the stock returns during the rest of the year. Therefore we were wondering if we need to include dummies for this equation, and if so, which dummies we have to include?

I think first you need to make sure, how many days of holdiays falls in to the period that stock martkets are open?
Does this vary across countries? for example some countries have different public holidays compared to others...

after taking care that, I think you have to add a dummy variable with name of "Santa", if Santa = 1, it means it is holiday in those countries but stock market is open and if Santa = 0, it means it is not holiday and stock market is open (normal time of the year) ...

Hope this is helpful ... :)