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Calendar anomalies: some perspectives from the behaviour of the Israeli stock market

24 citations0/0 files storedApplied Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Contrary to international evidence, stock returns in Israel are higher following weekends and holidays. Daily stock returns in Israel are examined in the period 1977–1990 and several patterns observed. These findings suggest that there may exist a fundamental compensation for the illiquidity and greater risk of investing during market closures.

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References

1980Stock returns and the weekend effect 1983Size-related anomalies and stock return seasonality 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective 1973The Behavior of Stock Prices on Fridays and Mondays 1985The Week-End Effect in Common Stock Returns: The International Evidence 1987A monthly effect in stock returns 1983Stock market seasonality 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes

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