This note examines the holiday effect in Australian daily stock returns at the market and industry levels and for small capitalisation stocks from Monday 9 September 1996 to Friday 10 November 2006. The eight annual holidays specified are New Years Day, Australia Day (26 January), Easter Friday and Easter Monday, ANZAC Day (25 April), the Queen’s Birthday (second Monday in June), Christmas Day and Boxing Day. A regression-based approach is employed. The results indicate that the Australian market overall provides evidence of a pre-holiday effect in common with small cap stocks. However, the market level effect appears to be solely the result of a strong pre-holiday effect in the retail industry. No evidence is found of a post-holiday effect in any market or industry.