L'Chaim: Jewish holidays and stock market returns

Abstract

Purpose

The purpose of this paper is to investigate the impact of Jewish holidays on US stock market returns.

Design/methodology/approach

The authors use event study and regression methodology to determine abnormal returns on Jewish holidays and windowed periods surrounding the day. In order to seclude the results to Jewish holidays, the authors control for several other known events that impact stock market returns. To substantiate claims of abnormal returns, the authors also use the Fama‐French four‐factor model to seek alpha and evidence returns on Jewish holidays.

Findings

This study shows, during the 1990‐2009 period, an increase in average daily returns 32 times greater on nine Jewish holidays than on the other trading days of the year. The demeanor of the specific Jewish holidays also influences stock market returns, as the market returns increase (decrease) on the joyous (solemn) Jewish holidays. Also, individual investors, rather than institutional investors, are a greater catalyst for the increased returns.

Originality/value

Previous research details increased stock market returns on US holidays and several other events. However, no definable research exists on stock market returns on Jewish holidays. The findings in this paper are valuable to investors who event‐trade, and are also valuable to investors and behavioral‐finance researchers who seek to understand how demeanor and moods may impact buying/selling decisions.

Citation

Mehran, J., Meisami, A. and Busenbark, J.R. (2012), "L'Chaim: Jewish holidays and stock market returns", Managerial Finance, Vol. 38 No. 7, pp. 641-652. https://doi.org/10.1108/03074351211233104