A note on the turn of the month and year effects in international stock returns

Khaled, Mohammed; Keef, Stephen P.

doi:10.1080/1351847x.2011.617379

Cited by 17 publications

(6 citation statements)

References 11 publications

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“…Depenchuk et al (2010) find the evidence of TOM in the Ukrainian stock market. Khaled and Keef (2012) find the evidence of the TOM effect in 50 international stocks over 1994-2006 even after controlling for several factors. Sharma and Narayan (2014) examine the TOM effect for firms’ returns and volatilities for different sectors and sizes and report that TOM has a heterogeneous effect on the firms.…”

Section: Literature Reviewmentioning

confidence: 77%

On the disappearance of calendar anomalies: have the currency markets become efficient?

Kumar

2018

SEF

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Purpose This study aims to examine the presence of the day-of-the-week (DOW), January and turn-of-month (TOM) effect in 20 currency pairs against the US dollar, from January, 1995 to December, 2014. Design/methodology/approach Ordinary least square with GARCH (1,1) framework is used to examine the presence of DOW, January and TOM effect to test the efficiency of the currency markets. The sample period is later divided into two sub-periods of equal length, that is, from 1995 to 2004 and 2005 to 2014, to explore the time-varying behavior of the calendar anomalies. Further, the authors also use the non-parametric technique, the Kruskal–Wallis test, to provide robustness check for the results. Findings For the DOW effect, the results indicate that the returns on Monday and Wednesday are negative and lower than the returns on Thursday and Friday which show positive and higher returns. The returns of all the currencies are higher (lower) in January (TOM trading days) and lower (higher) during rest of the year (non-TOM trading days). However, these calendar anomalies seem to have disappeared for almost all currencies during 2005 to 2014 and indicate that the markets have achieved a higher degree of efficiency in the later part of the sample. Practical implications The results have important implications for both traders and investors. The findings suggest that the investors might not be able to earn excess profits by timing their positions in some particular currencies taking the advantage of DOW, January or TOM effect, which in turn indicates that the currency markets have become more efficient with time. The results might be appealing to the practitioners as well in a way that they can consider the state of financial market for financial decision-making. Social implications The findings of lower returns on Monday and Wednesday and high returns during Thursday and Friday for all the currencies indicate that the foreign investors can take the advantage by going short on Monday and Wednesday and long on Thursday and Friday. Similarly, the returns of all the currencies are higher (lower) in January (TOM trading days) and lower (higher) during rest of the year (non-TOM trading days). During this period, investors in the currency markets could benefit themselves by taking long (short) positions in January (TOM trading days) and short (long) positions during rest of the year (non-TOM trading days). Originality/value The author provides a pioneer study on the presence of calendar anomalies (DOW, TOM and the January effect) across a wide range of currencies using 20 years of data from January 1995 to December 2014. To the best of the author’s knowledge, no study has examined the presence of January effect in the currency market; therefore, the author provides the first study in which January effect in a number of currencies is investigated.

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Section: Literature Reviewmentioning

confidence: 77%

On the disappearance of calendar anomalies: have the currency markets become efficient?

Kumar

2018

SEF

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“…The partial phase-difference and partial gain analysis were segmented into three cycle frequencies: short cycles (4~16 days), medium-term fluctuations (16~32 days) and long-run relationships (32~64 days). From a theoretical point of view, the horizon partition follows closely the literature, with the short-term horizon capturing weekday effects Sun and Tong [26], the medium-term horizon containing the turn-of-the-month effect Khaled and Keef [27], and the long-term cyclical component translating relationships with a higher degree of persistence. On the practical side, we believe that the differentiation of the horizon in terms of frequency produces an important set of information for different types of investors, depending on their planning time horizon.…”

Section: Resultsmentioning

confidence: 99%

Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio

et al. 2021

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Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach tends to reduce portfolio return exposure depending on country factors. However, in scenarios where industry factors are predominant, international diversification can increase systematic risk in a portfolio centered on a single asset class. This study is a pioneer in using wavelet-based methods to identify intersectoral co-movements, based on a portfolio of shares of the world’s top five consulting engineering companies, providing an innovative way to be applied to this phenomenon. Our evidence indicates that companies share a strong pattern of co-movements among themselves, especially in cycles of 32 to 64 days, suggesting a higher exposure to risk for portfolios with an investment horizon in long-term cycles.

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“…Ogden (1990) studies the stock index returns in the US and confirms the existence TOM effect and reports that returns are higher following the month of December. Khaled and Keef (2012) find the evidence of the TOM effect in 50 international stocks over 1994-2006 even after controlling for several factors. Dzhabarov and Ziemba (2010) and Atanasova and Hudson (2010) find that the TOM effect still exists.…”

Section: The Tom Effectmentioning

confidence: 93%