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The short trading day anomaly

Listed author(s):
  • Qadan, Mahmoud
  • Kliger, Doron

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0927539816300561
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 38 (2016)
Issue (Month): PA ()
Pages: 62-80

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Handle: RePEc:eee:empfin:v:38:y:2016:i:pa:p:62-80
DOI: 10.1016/j.jempfin.2016.05.007
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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