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The Impact of Trading-Restricted, Business Days and Trading, Non-Business Days on Australian Small-Cap, Large-Cap and Market Returns

Journal Article


Abstract


  • This paper comprises an empirical analysis of trading-restricted, business days and trading, non-business days on the Australian Stock Exchange (ASX). Trading-restricted, business days refer to days where trading hours are shorter but business activity (including settlement) is normal; trading, non-business days refer to days where trading takes place almost normally but the settlement of securities is delayed. 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 trading-restricted, business day and trading, non-business day effect is examined using non-parametric and regression methods. 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 year.

Authors


  •   Mistry, Mitesh (external author)
  •   Worthington, Andrew C. (external author)
  •   Gerace, Dionigi (external author)
  •   Gulati, Chandra M.

Publication Date


  • 2008

Citation


  • Mistry, M., Worthington, A. C., Gerace, D. & Gulati, C. M. (2008). The Impact of Trading-Restricted, Business Days and Trading, Non-Business Days on Australian Small-Cap, Large-Cap and Market Returns. The Social Science Research Network, October

Volume


  • October

Abstract


  • This paper comprises an empirical analysis of trading-restricted, business days and trading, non-business days on the Australian Stock Exchange (ASX). Trading-restricted, business days refer to days where trading hours are shorter but business activity (including settlement) is normal; trading, non-business days refer to days where trading takes place almost normally but the settlement of securities is delayed. 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 trading-restricted, business day and trading, non-business day effect is examined using non-parametric and regression methods. 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 year.

Authors


  •   Mistry, Mitesh (external author)
  •   Worthington, Andrew C. (external author)
  •   Gerace, Dionigi (external author)
  •   Gulati, Chandra M.

Publication Date


  • 2008

Citation


  • Mistry, M., Worthington, A. C., Gerace, D. & Gulati, C. M. (2008). The Impact of Trading-Restricted, Business Days and Trading, Non-Business Days on Australian Small-Cap, Large-Cap and Market Returns. The Social Science Research Network, October

Volume


  • October