The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion

Sergey Gelman, Doron Kliger

פרסום מחקרי: פרסום בכתב עתמאמרביקורת עמיתים

תקציר

We study the role of stress induced by time constraints on investor decision making in real financial markets. We use unexpected traffic congestion as a stress trigger. Our dependent variable is the slope of the implied volatility function (IVF) of options on Russian Trading System Index (RTSI) futures at the left-hand side of the volatility smile (cf. Bollen and Whaley, 2004). Controlling for relevant factors, we find that this slope at the opening of the main trading session is higher subsequent to morning traffic jams, suggesting that investors under stress assign higher weights to extreme loss scenarios. This effect is economically exploitable before transaction costs.

שפה מקוריתאנגלית אמריקאית
עמודים (מ-עד)814-841
מספר עמודים28
כתב עתJournal of Economic Behavior and Organization
כרך185
מזהי עצם דיגיטלי (DOIs)
סטטוס פרסוםפורסם - מאי 2021

ASJC Scopus subject areas

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  • ???subjectarea.asjc.1400.1407???

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