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1 July 2004 Financial Analysts Journal Volume 60, Issue 4

Nonsecular Regularities in Returns and Volume

  1. Laura Frieder
  2. Avanidhar Subrahmanyam

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.

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