Journal of Empirical Finance Volume 38, Part A, September 2016, Pages 62–80

短期交易异象（或短期节日效应）

作者：Mahmoud Qadan , Doron Kliger

摘要：心理学研究已经显示人们的情绪会影响他们的选择和判断。本文研究发现特拉维夫证交所（以色列）的股票在节假日附近的短期交易日（Short Trading Day）能获得正的异常收益率，并且收益的波动更低。使用主要的股票指数和大部分经济部门指数均能发现明显的异象。这种异象与规模大小相关，中小盘股指的异常收益率更高。同时，在短期交易日时，市场波动指数（VIX）也比正常交易日(Normal Trading Day)低。我们的结果显示投资者可以通过两种简单的交易策略获利。

关键词：行为金融 金融市场 投资者情绪 情绪 节前效应 风险规避 短期交易 股票收益

The short trading day anomaly

Mahmoud Qadan , Doron Kliger

Abstract

The psychological literature indicates that people's mood affects their choices and judgments. We find that short trading days around holidays on the Tel Aviv Stock Exchange are accompanied by positive abnormal returns and reduced volatility in returns. This anomaly is evident in the main stock indices, as well as most of the economic sector indices. The anomaly seems to be size related, with small and mid-cap indices producing abnormal returns. In addition, the volatility index (VIX) during short trading days tends to be lower than on normal trading days. Our findings suggest that investors can benefit from using two simple trading strategies.

Keywords: Behavioral finance; Financial markets; Investor sentiment; Mood; Pre-holiday effect; Risk aversion; Short trading day; Stock returns

原文链接：http://www.sciencedirect.com/science/journal/09275398

翻译：Luo Dan