Title

Trading/trading-restricted and business/nonbusiness days in market return models

RIS ID

100666

Publication Details

Mistry, M., Worthington, A. C., Gerace, D. & Gulati, C. (2014). Trading/trading-restricted and business/nonbusiness days in market return models. In A. C. Worthington (Eds.), Economic and Financial Modeling of Markets, Institutions and Instruments (pp. 29-43). New York, United States: Nova Science Publishers.

Abstract

This chapter provides an empirical analysis of trading-restricted, business days and trading, non-business days on the Australian Securities Exchange (ASX). Seven days are included in the analysis: the Bank Holiday in NSW (non-business), Labour Day in NSW (non-business), Easter Thursday (early close), Labour Day in Victoria (non-business), Melbourne Cup Day in Melbourne (non-business), the last business day before Christmas (early close) and the last business day of the calendar year (early close). Three indexes provide different daily return measures: the All Ordinaries (market), 1958 - 2007, the Small Ordinaries (small-cap), 1994 - 2007; and the ASX100 (large-cap), 1992 - 2007. The findings indicate return abnormalities on three days when trading and/or business activity is restricted: Melbourne Cup Day, the last business day before Christmas and the last business day of the calendar year.

Link to publisher version (URL)

Nova Science Publishers

Please refer to publisher version or contact your library.

Share

COinS