The Holiday and Yom Kippur War Sentiment Effects: The Tel Aviv Stock Exchange (TASE)

Quantitative Finance, Vol. 12, Issue 8, pp. 1283-1298, August 2012

34 Pages Posted: 10 Nov 2009 Last revised: 4 Apr 2014

Guy Kaplanski

Bar-Ilan University - Graduate School of Business Administration

Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration; Fordham University

Date Written: November 1, 2010

Abstract

Several empirical studies reveal that holidays generally create positive sentiment in the stock market, whereas negative events, such as wars or disasters are accompanied by negative sentiment. However, what happens if a negative event occurs on a holiday? In such a case, we expect two conflicting sentiment effects, which may cancel one another out or alternatively, one effect may dominate the other. The stock market in Israel provides a unique laboratory in which to test these two conflicting effects, as Israel faced a horrible war on the Yom Kippur holiday in 1973 — a war whose influence is still strongly felt today. Indeed, we find two robust effects: A strong and significant positive holiday sentiment effect; and a negative war sentiment effect, which dominates the positive holiday effect. These results, which show how sentiment effects are created, are general and can easily be applied to other events and other markets when conflicting sentiment effects occur.

Keywords: risk sentiment index (RSI), behavioral finance, perceived risk, market anomalies, market efficiency

JEL Classification: A12, G1, G10, G12, G14

Suggested Citation

Kaplanski, Guy and Levy, Haim, The Holiday and Yom Kippur War Sentiment Effects: The Tel Aviv Stock Exchange (TASE) (November 1, 2010). Quantitative Finance, Vol. 12, Issue 8, pp. 1283-1298, August 2012. Available at SSRN: https://ssrn.com/abstract=1503305 or http://dx.doi.org/10.2139/ssrn.1503305

Guy Kaplanski (Contact Author)

Bar-Ilan University - Graduate School of Business Administration ( email )

Ramat Gan
Israel

Haim Levy

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem, 91905
Israel

HOME PAGE: http://pluto.huji.ac.il/~mshlevy/

Fordham University ( email )

140 West 62nd Street
New York, NY 10023
United States

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