The short trading day anomaly

被引：11

作者：

Qadan, Mahmoud ^{[1
]}

Kliger, Doron ^{[2
]}

机构：

[1] Univ Haifa, Fac Management, IL-199 Haifa, Israel

[2] Univ Haifa, Dept Econ, IL-199 Haifa, Israel

来源：

JOURNAL OF EMPIRICAL FINANCE | 2016年 / 38卷

关键词：

Behavioral finance; Financial markets; Investor sentiment; Mood; Pre-holiday effect; Risk aversion; Short trading day; Stock returns; SEASONAL AFFECTIVE-DISORDER; STOCK RETURNS; INVESTOR SENTIMENT; POSITIVE AFFECT; PROJECTION BIAS; VOLATILITY; MARKET; MOOD; RISK; PRICES;

D O I：

10.1016/j.jempfin.2016.05.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The psychological literature indicates that people's mood affects their choices and judgments. We find that short trading days around holidays on the Tel Aviv Stock Exchange are accompanied by positive abnormal returns and reduced volatility in returns. This anomaly is evident in the main stock indices, as well as most of the economic sector indices. The anomaly seems to be size related, with small and mid-cap indices producing abnormal returns. In addition, the volatility index (VIX) during short trading days tends to be lower than on normal trading days. Our findings suggest that investors can benefit from using two simple trading strategies. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：62 / 80

页数：19

共 109 条

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