TY - JOUR
T1 - Do computerized traders follow social norms? Evidence from the holocaust remembrance moment of silence
AU - (Meni) Abudy, Menachem
AU - Gildin, Ilan
AU - Mugerman, Yevgeny
N1 - Publisher Copyright:
© 2022
PY - 2022/8
Y1 - 2022/8
N2 - This paper employs a unique social setting, in which human activity halts during a siren alarm for two minutes to commemorate the Israeli Holocaust Remembrance Day. When the siren sounds, the social norm is to cease all activity and stand still for two minutes. The memorial siren occurs during the trading hours of the stock market, which remains open during the two-minute period. This creates a quasi-natural experiment to examine how computerized traders react when most human activity has ceased. As expected, we document a significant decline in human trading activity during the siren. Remarkably, however, computerized traders decrease their trading activity as well. Moreover, their share as takers does not significantly increase. Our findings suggest that computers alter their trading patterns in sync with humans who are affected by various norms; hence, bias-free computerized trading should not be taken for granted.
AB - This paper employs a unique social setting, in which human activity halts during a siren alarm for two minutes to commemorate the Israeli Holocaust Remembrance Day. When the siren sounds, the social norm is to cease all activity and stand still for two minutes. The memorial siren occurs during the trading hours of the stock market, which remains open during the two-minute period. This creates a quasi-natural experiment to examine how computerized traders react when most human activity has ceased. As expected, we document a significant decline in human trading activity during the siren. Remarkably, however, computerized traders decrease their trading activity as well. Moreover, their share as takers does not significantly increase. Our findings suggest that computers alter their trading patterns in sync with humans who are affected by various norms; hence, bias-free computerized trading should not be taken for granted.
UR - http://www.scopus.com/inward/record.url?scp=85134056258&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2022.102914
DO - 10.1016/j.frl.2022.102914
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AN - SCOPUS:85134056258
SN - 1544-6123
VL - 48
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 102914
ER -