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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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  • Frieder, Laura
  • Subrahmanyam, Avanidhar

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.

Suggested Citation

  • Frieder, Laura & Subrahmanyam, Avanidhar, 2001. "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," University of California at Los Angeles, Anderson Graduate School of Management qt8jb1q6z6, Anderson Graduate School of Management, UCLA.
    • Handle: RePEc:cdl:anderf:qt8jb1q6z6
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    1. Stulz, Rene M. & Williamson, Rohan, 2003. "Culture, openness, and finance," Journal of Financial Economics, Elsevier, vol. 70(3), pages 313-349, December.
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    Cited by:

    1. Joshi, Nayan & Bhattarai, Ram Chandra, 2007. "Stock returns and economically neutral behavioral variables: evidence from the Nepalese stock market," MPRA Paper 27000, University Library of Munich, Germany.

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