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

短期交易異象（或短期節日效應）

作者：Mahmoud Qadan , Doron Kliger

摘要：心理學研究已經顯示人們的情緒會影響他們的選擇和判斷。本文研究發現特拉維夫證交所（以色列）的股票在節假日附近的短期交易日（Short Trading Day）能獲得正的異常收益率，并且收益的波動更低。使用主要的股票指數和大部分經濟部門指數均能發現明顯的異象。這種異象與規模大小相關，中小盤股指的異常收益率更高。同時，在短期交易日時，市場波動指數（VIX）也比正常交易日(Normal Trading Day)低。我們的結果顯示投資者可以通過兩種簡單的交易策略獲利。

關鍵詞：行為金融 金融市場 投資者情緒 情緒 節前效應 風險規避 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

原文鍊接：http://www.sciencedirect.com/science/journal/09275398

翻譯：Luo Dan