The short trading day anomaly
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- 作者：Mahmoud Qadana ; Mqadan@univ.haifa.ac.il" class="auth_mail" title="E-mail the corresponding author ; Doron Kligerb
- 关键词：G10 ; G12 ; G14
- 刊名：Journal of Empirical Finance
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：38
- 期：part_PA
- 页码：62-80
- 全文大小：1443 K
文摘
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In two occasions, Tel-Aviv Stock Exchange restricts trade to take place till 14:25.
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Short trading days are accompanied by abnormal returns and decreased volatility.
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This anomaly is present in the main bond, stock and economic sector indices.
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Low and mid-cap indices outperform the large-cap index during short-trading days.
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Our evidence links, indirectly, investors' mood to security returns and volatility.