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Investor inattention around stock market holidays

Author

Listed:
  • Hood, Matthew
  • Lesseig, Vance

Abstract

We observe three results that lead to the conclusion investors are distracted by holidays. First, there is a substantial reduction in the trading volume adjacent to weekday stock market closings. Second, there are considerably fewer stocks with extreme abnormal returns in the trading days adjacent to a holiday. Third, those stocks with extreme abnormal returns in the trading days adjacent to a holiday drift on the subsequent trading day. These findings do not hold for weekend stock market closings. The evidence supports the hypothesis of inattentive investors, whose reactions are suppressed in the quiet trading sessions surrounding stock market holidays.

Suggested Citation

  • Hood, Matthew & Lesseig, Vance, 2017. "Investor inattention around stock market holidays," Finance Research Letters, Elsevier, vol. 23(C), pages 217-222.
    • Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:217-222
    DOI: 10.1016/j.frl.2017.07.015
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    References listed on IDEAS

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    Cited by:

    1. Gao, Ya & Xiong, Xiong & Feng, Xu & Li, Youwei & Vigne, Samuel A., 2019. "A new attention proxy and order imbalance: Evidence from China," Finance Research Letters, Elsevier, vol. 29(C), pages 411-417.
    2. José Emilio Farinós & Begoña Herrero & Miguel Ángel Latorre, 2021. "Investor Inattention to All-Cash Acquisition Announcements: A Joint Day-Time Analysis in the Spanish Market," Sustainability, MDPI, vol. 13(2), pages 1-22, January.
    3. Bao, Wei & Guo, Shijun & Peng, Diefeng & Rao, Yulei, 2023. "Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. repec:rfb:journl:v:09:y:2017:i:2:p:007-026 is not listed on IDEAS
    5. Ke, Yun & Zhang, Yanan, 2020. "Does high-frequency trading reduce market underreaction to earnings news?," Finance Research Letters, Elsevier, vol. 34(C).

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    More about this item

    Keywords

    Event study; Holidays; Drift; Investor attention;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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