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

Benil Auterbach; Meyer Ungar

doi:10.1080/758527547

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

Benil Auterbach, Meyer Ungar

Department of Economics

Research output: Contribution to journal › Article › peer-review

16 Scopus citations

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.

Original language	English
Pages (from-to)	57-60
Number of pages	4
Journal	Applied Financial Economics
Volume	2
Issue number	1
DOIs	https://doi.org/10.1080/758527547
State	Published - 1 Mar 1992

Access to Document

10.1080/758527547

Cite this

@article{bb1ef08538594fcf852ab8cdfd7f75dd,

title = "Calendar anomalies: Some perspectives from the behaviour of the Israeli stock market",

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.",

author = "Benil Auterbach and Meyer Ungar",

year = "1992",

month = mar,

day = "1",

doi = "10.1080/758527547",

language = "אנגלית",

volume = "2",

pages = "57--60",

journal = "Applied Financial Economics",

issn = "0960-3107",

publisher = "Taylor and Francis Ltd.",

number = "1",

}

TY - JOUR

T1 - Calendar anomalies

T2 - Some perspectives from the behaviour of the Israeli stock market

AU - Auterbach, Benil

AU - Ungar, Meyer

PY - 1992/3/1

Y1 - 1992/3/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=17044427818&partnerID=8YFLogxK

U2 - 10.1080/758527547

DO - 10.1080/758527547

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:17044427818

SN - 0960-3107

VL - 2

SP - 57

EP - 60

JO - Applied Financial Economics

JF - Applied Financial Economics

IS - 1

ER -

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

Abstract

Access to Document

Other files and links

Fingerprint

Cite this