The Impact of Trading-Restricted, Business Days and Trading, Non-Business Days on Australian Small-Cap, Large-Cap and Market Returns

18 Pages Posted: 29 Oct 2008

See all articles by Mitesh Mistry

Mitesh Mistry

affiliation not provided to SSRN

Andrew C. Worthington

Griffith University

Dionigi Gerace

The University of Sydney

Chandra Gulati

University of Wollongong

Date Written: October 28, 2008

Abstract

This paper comprises an empirical analysis of trading-restricted, business days and trading, non-business days on the Australian Stock Exchange (ASX). Trading-restricted, business days refer to days where trading hours are shorter but business activity (including settlement) is normal; trading, non-business days refer to days where trading takes place almost normally but the settlement of securities is delayed. Seven days are included in the analysis: the Bank Holiday in NSW (non-business), Labour Day in NSW (non-business), Easter Thursday (early close), Labour Day in Victoria (non-business), Melbourne Cup Day in Melbourne (non-business), the last business day before Christmas (early close) and the last business day of the calendar year (early close). Three indexes provide different daily return measures: the All Ordinaries (market), 1958-2007, the Small Ordinaries (small-cap), 1994-2007; and the ASX100 (large-cap), 1992-2007. The trading-restricted, business day and trading, non-business day effect is examined using non-parametric and regression methods. The findings indicate return abnormalities on three days when trading and/or business activity is restricted: Melbourne Cup Day, the last business day before Christmas and the last business day of the year.

Keywords: security trading, settlement and clearing, market efficiency, holiday effect

JEL Classification: C12, C22, G14

Suggested Citation

Mistry, Mitesh and Worthington, Andrew C. and Gerace, Dionigi and Gulati, Chandra, The Impact of Trading-Restricted, Business Days and Trading, Non-Business Days on Australian Small-Cap, Large-Cap and Market Returns (October 28, 2008). Available at SSRN: https://ssrn.com/abstract=1290908 or http://dx.doi.org/10.2139/ssrn.1290908

Mitesh Mistry

affiliation not provided to SSRN ( email )

Andrew C. Worthington (Contact Author)

Griffith University ( email )

170 Kessels Road
Nathan, Queensland 4111
Australia
+61 (0)7 3735 4273 (Phone)
+61 (0)7 3735 3719 (Fax)

Dionigi Gerace

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

Chandra Gulati

University of Wollongong ( email )

Northfields Avenue
Wollongong, New South Wales 2522
Australia

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