The impact of trading-restricted, business days and trading, non-business days on Australian small-cap, large-cap and market returns
MetadataShow full item record
This paper comprises an empirical analysis of trading-restricted, business days and trading, non-business days on the Australian Securities 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.
Asian Finance Association International Conference 2009
© The Author(s) 2009. The attached file is reproduced here in accordance with the copyright policy of the publisher. For information about this conference please refer to the conference's website or contact the authors.
Business and Management not elsewhere classified