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Perspectives: Nonsecular Regularities in Returns and Volume

Posted: 10 Aug 2004  

Laura Frieder

Purdue University - Krannert School of Management

Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area; Institute of Global Finance, UNSW Business School; Financial Research Network (FIRN)

Abstract

This study addressed U.S. stock daily returns and volume around days when the market is open that correspond to religious or cultural occasions - specifically, St. Patrick's Day and the Jewish High Holy Days of Rosh Hashanah and Yom Kippur. On Rosh Hashanah and Yom Kippur, volume was found to be down relative to volume on all trading days in the sample. The reason may be that the nonfinancial opportunity cost of trading is high for a considerable number of traders on these days. Returns were significantly higher on the days preceding St. Patrick's Day and Rosh Hashanah, which is consistent with the notion that market returns reflect the festive nature of these occasions. Evidence was also found of significantly negative returns after Yom Kippur in the second half of the sample period, which accords with the idea that the market reflects the solemn nature of this occasion. Overall, the results are consistent with the view that mood is a viable explanation for some market movements.

Keywords: Portfolio Management: Equity Strategies

Suggested Citation

Frieder, Laura and Subrahmanyam, Avanidhar, Perspectives: Nonsecular Regularities in Returns and Volume. Financial Analysts Journal, Vol. 60, No. 4, pp. 29-34, July/August 2004. Available at SSRN: https://ssrn.com/abstract=574724

Laura Frieder (Contact Author)

Purdue University - Krannert School of Management ( email )

1310 Krannert Building
West Lafayette, IN 47907-1310
United States

Avanidhar Subrahmanyam

University of California, Los Angeles (UCLA) - Finance Area ( email )

Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)

Institute of Global Finance, UNSW Business School

Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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