Analyzing seasonal anomalies for Israel: evidence from pre- and post-global financial crisis
ISSN: 0307-4358
Article publication date: 17 January 2020
Issue publication date: 19 March 2020
Abstract
Purpose
The purpose of this paper is to analyze different seasonal anomalies for the Israeli securities markets for the pre- and post-global financial crisis periods.
Design/methodology/approach
The closing values of six indices of the Tel Aviv Stock Exchange (TASE) of Israel have been considered. The time frame ranges from 2000 to 2018. Further, the overall time frame has been segregated into pre- and post-financial crisis periods. The study employs dummy variable regression technique for assessing different calendar anomalies.
Findings
The results show evidence pertaining to different seasonal anomalies for the Israeli markets. The results specifically show that the anomalies change considerably across the pre- and post-financial crisis periods. The results are more apparent for three anomalies including the day of the week effect, the month of the year effect and the holiday effect. However, anomalies including the Halloween effect and the trading month effect are found to be insignificant across both pre- and post-financial crisis periods.
Originality/value
The study is first of its kind that analyzes different seasonal anomalies across pre- and post-financial crisis periods for the Israeli markets. The study provides newer insights about the overall return patterns observed in different indices of the TASE.
Keywords
Citation
Jaisinghani, D., Kaur, M. and Inamdar, M.M. (2020), "Analyzing seasonal anomalies for Israel: evidence from pre- and post-global financial crisis", Managerial Finance, Vol. 46 No. 3, pp. 435-450. https://doi.org/10.1108/MF-06-2019-0316
Publisher
:Emerald Publishing Limited
Copyright © 2019, Emerald Publishing Limited