The short trading day anomaly

Mahmoud Qadan and Doron Kliger

Journal of Empirical Finance, 2016, vol. 38, issue PA, 62-80

Abstract: 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.

Keywords: Behavioral finance; Financial markets; Investor sentiment; Mood; Pre-holiday effect; Risk aversion; Short trading day; Stock returns (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:38:y:2016:i:pa:p:62-80

DOI: 10.1016/j.jempfin.2016.05.007

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