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Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market, Forthcoming in the Financial Analysts Journal

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Author Info
Laura Frieder (Anderson School of Management)
Avanidhar Subrahmanyam (Anderson School of Management)
Abstract

We study how daily returns and volume behave around the Jewish High Holy Days. We find that on both Rosh HaShanah and Yom Kippur, volume is down significantly, relative to that on all trading days in the sample period. When we consider a cumulative measure that allows for preemptive or delayed trading activity, we find that returns are significantly positive around Rosh HaShanah and significantly negative around Yom Kippur. Overall, the results are consistent with our a priori intuition that Jews play a major role in equity trading, so that their sentiment around important Jewish holidays has a significant impact on the U.S. equity market.

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Paper provided by Anderson Graduate School of Management, UCLA in its series University of California at Los Angeles, Anderson Graduate School of Management with number 1023.

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Date of creation: 06 Feb 2001
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Handle: RePEc:cdl:anderf:1023

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  1. David Hirshleifer & Tyler Shumway, 2003. "Good Day Sunshine: Stock Returns and the Weather," Journal of Finance, American Finance Association, vol. 58(3), pages 1009-1032, 06. [Downloadable!] (restricted)
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  2. Rene M. Stulz & Rohan Williamson, 2001. "Culture, Openness, and Finance," NBER Working Papers 8222, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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