Analyzing seasonal anomalies for Israel: evidence from pre- and post-global financial crisis

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.

Strengthening Trust in Israeli Financial Market: The Case of the Demutualisation of the Tel Aviv Stock Exchange

The Israeli stock market is in turmoil. In recent years, the Israel Securities Authority has initiated significant legislative changes intended to tighten the regulation applying to public companies in Israel. These legislative changes drew their inspiration from Anglo-American law. However, it became apparent that these changes significantly impeded the operations of public companies in Israel, leading to the deletion of such companies from trading and their registration in countries with more lenient regulation. The fall in the scope of trading on the Tel Aviv Stock Exchange led to mutual recriminations between the chairperson of the Israel Securities Authority and the chairperson of the Tel Aviv Stock Exchange concerning the reasons for the current situation. The steep decline in the scope of trading on the Tel Aviv Stock Exchange exposed a crisis of trust in Israeli financial markets. I shall argue that to encourage trust in Israeli financial market, we should adopt a general reform regarding the implementation of internal corporate governance mechanisms in the working process of the Israel Securities Authority and Tel Aviv Stock Exchange. In this framework, I will discuss the implication of several insights derived from the Organizational Management theory on special processes which could enhance cooperation between financial authorities and self-regulatory organizations in Israel. I believe that adopting those processes in Israel may contribute significantly to improving trust in the local financial markets.

The oracle or the crowd? Experts versus the stock market in forecasting ceasefire success in the Levant

The forecasting literature has come to mistrust the predictions made by experts who forecast political events in mass media. Distinguishing between judgements made by one or few individuals (‘oracles’) and assessments made by larger groups (‘crowds’), we contrast journalistic predictions with forecasts stemming from the financial industry. These two competing views were evaluated in a quantitative analysis of the ex ante success of 24 ceasefire agreements in various conflicts which took place in the Levant from 1993 to 2014. Our analysis compares the forecasts appearing in press commentaries ( Haaretz, Jerusalem Post and New York Times) with the expectations that the Tel Aviv Stock Exchange had about the stability of these cooperative efforts. To evaluate the predictions of these very dissimilar sources, the effectiveness of the ceasefires was analysed through the number of violent events following the official start of the truce. The analysis shows that the financial industry performs better than the media industry in the comparative evaluation of ceasefire forecasts, but that neither source provides sufficiently accurate predictions. The partial support for the crowd thesis is discussed in light of recent literature that resuscitates the usage of well-trained experts for forecasting purposes, but warns against the dramatizing predictions of media pundits.