The turn of the month effect in India: A case of large institutional trading pattern as a source of higher liquidity

Maher, Daniela; Parikh, Anokhi

doi:10.1016/j.irfa.2013.02.011

Cited by 18 publications

(18 citation statements)

References 29 publications

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“…It can be concluded that during the financial crisis the TOM effect is not statistically significant. This is in conformity with the findings of Maher and Parikh (2013) who find a similar result in the context of the Indian stock market.…”

Section: Results and Analysissupporting

confidence: 93%

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The Turn of the Month Effect in Asia-Pacific Markets: New Evidence

Aziz

Ansari

2017

Global Business Review

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A predictable pattern in equity returns based on the calendar time is dubbed as calendar anomaly. The prevalence of calendar anomalies is considered evidence against the efficient market hypothesis. This article examines one of the most important calendar anomalies, the turn-of-the-month (TOM) effect, in 12 major Asia-Pacific markets during the period January 2000 to April 2015, using both parametric and non-parametric tests. Under investigation, 11 out of 12 markets exhibit significant TOM effects that are independent of the turn-of-the-year (TOY) effect. Moreover, these effects are not present during the period of financial crisis. The persistence of the TOM effect in these markets, even after a quarter of a century of its initial reporting, is a puzzle which needs an explanation.

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Section: Results and Analysissupporting

confidence: 93%

“…Furthermore, there is scanty evidence regarding it in some selected markets. For example, in the Indian context, there are only two studies which have examined the TOM effect (Freund, Jain, & Puri, 2007; Maher & Parikh, 2013).…”

Section: Objective Of the Studymentioning

confidence: 99%

The Turn of the Month Effect in Asia-Pacific Markets: New Evidence

Aziz

Ansari

2017

Global Business Review

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“…This is because advisors urge clients to make anticipated stock purchases before the start of calendar months, and to postpone sales to after the middle of the month in order to capture the higher than usual returns that accrue in the early days of calendar months. In addition, others such as Maher & Parikh (2013) attributed the existence of the turn of the month effect in India to large institutional investors significantly increasing trading volumes at the end of the month, and thereby increasing stock prices. Sharma & Narayan (2014), using data on 560 firms on the New York Stock Exchange, showed that the turn of the month effect can depend on the sectoral location of firms and on firm size.…”

Section: Turn Of the Month Effectmentioning

confidence: 99%

Rise and fall of calendar anomalies over a century

Plastun

Sibande

Gupta

et al. 2019

The North American Journal of Economics and Finance

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In this paper, we conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900 to 2018 period. We employ various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis and Mann-Whitney tests) and the trading simulation approach to analyse the evolution of the following calendar anomalies: day of the week effect, turn of the month effect, turn of the year effect, and the holiday effect. The results revealed that 'golden age' of calendar anomalies was in the middle of the 20th century. However, since the 1980s all calendar anomalies disappeared. This is consistent with the Efficient Market Hypothesis.

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“…Where, BSS is between sum of squares, WSS is within sum of squares and is degrees of freedom between groups and is degrees of freedom within groups; 12 , ,........... n n n n are the sample sizes of every month from January to December; [44], and Maher and Parikh [19], to detect the presence of month of the year anomalies we use the following dummy variable regression for half of the month. As most of the companies at DSE announced their dividend at the end of June or December, as tax year in Bangladesh ends in June but the calendar year ends in December, we just divide the whole year into two half.…”

Section: Methodsmentioning

confidence: 99%