This study aimed to verify the impact of national, religious and weekend holidays effect on the trading prices of stocks of companies listed on the Palestine Securities Exchange. The financial statements for the period 1/1/2006 until 1/1/2010 were analyzed. In order to test hypotheses of the study, the researchers used unilateral analysis of variance (ANOVA) and Sheve for a posteriori comparisons (Post Hoc ANOVA) which had shown a positive effect for the day prior holiday on the prices of shares of companies, but without statistical significance. The study found to have statistically significant differences in the stock returns of sampled companies due to the variable of the economic sector, to which these companies belong. The study also found that prices were trading higher on days prior to religious holidays than in the national and weekend holidays.