The Turn of the Month Effect on CEE Stock Markets

Árendáš, Peter; Kotlebová, Jana

doi:10.3390/ijfs7040057

Cited by 14 publications

(12 citation statements)

References 43 publications

(55 reference statements)

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“…The usage of calendar anomalies upon 11 CEE stock markets reveals that the turn-ofthe-month effect affects only market returns. especially in the short periods established at the end of one month and the start of a new month (Arendas and Kotlebova, 2019) [30]. The significant positive results of stock market analysis by using a Markov chain to improve future air quality suggest that this can be an important tool to help governments insert prevention actions during a difficult weather period (Zakaria et al, 2019) [31].…”

Section: Literature Reviewmentioning

confidence: 99%

Econophysics Techniques and Their Applications on the Stock Market

2022

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Exact sciences have achieved many results, validated in practice. Although their application in economics is difficult due to the human factor involved, the lack of conservation laws, and experimental difficulties, it must be highlighted that the consistent bibliography gathered in recent years in this field encourages the econophysics approach. The objective of this article is to validate and/or define a few stock strategies, based on known results from mathematics, physics, and chemistry. The scope of this research demonstrates that statistics (in portfolio theory), geometry (in technical analysis), or financial mathematics can be used in the capital market. Many of the exact science results corresponded to strategies applicable to investors. Unlike the material world, financial markets have additional components that must be considered: human psychology, sociology at the firm level, and behavioral unpredictability. The findings obtained in this research enable the enormous vastness of the exact science results that can be a fertile source for new investment strategies. This article concludes that in order for mathematical theories to be applied to the stock market, it is essential that the start-up conditions (initial assumptions) are validated in the market.

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Section: Literature Reviewmentioning

confidence: 99%

Econophysics Techniques and Their Applications on the Stock Market

2022

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“…Aziz and Ansari ( 2017 ) examined 12 major Asia-Pacific markets during the period of 2000–2015 covering the period of the financial crisis and reported the TOM effect in 11 markets of the Asia-Pacific region. Arendas and Kotlebova ( 2019 ) investigated the TOM effect in the stock markets of 11 Central and Eastern European (CEE) countries for a 20-year period (1999–2018) and proved significant TOM in seven countries. A study by Singh et al ( 2021 ) has focused on emerging markets namely Brazil, China and India for the testing turn of the month effect for equity markets with three different sub-time periods which has pointed that significant higher average returns for the turn of the month were generated as compared to non-turn of the month time period.…”

Section: Literature Reviewmentioning

confidence: 99%

Global mutual fund market: the turn of the month effect and investment strategy

Shah

Baser

2022

J Asset Manag

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Turn of the month (TOM) is a widely recognized anomaly and studied majorly in the context with equity markets. However, the global mutual fund market has not been much exposed to empirical testing of the TOM anomaly and the implication thereof. This study has dual objectives of not only investigating if the TOM effect persists in the world of equity mutual funds but also proposing an investment strategy to exploit the TOM anomaly to mutual fund investors. The study examines 40 equity mutual funds across 6 different geographies and 2 multi-geographic segments. For the sample period of 15 years (2005–2020), crucially covering financial crisis as well as an outbreak of the Covid-19 pandemic this study confirms a statistically significant effect of TOM for 23 out of 40 funds. Based on findings, the paper proposes a staggered investment strategy to investors in mutual funds for entry and exit to exploit the TOM effect for return enhancement.

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“…The concept of an anomaly turn of the month effect was initiated by Ariel (1987), who found patterns of abnormal movement on the transitional days of the month, this pattern has been proven to be different from the January effect because the data for this study uses stock price data for 19 years without using data for January. Testing the turn of the month effect anomaly is done by dividing transaction days into two groups, namely transitional days and non-transitional days, calculating daily returns for the two groups, and conducting different tests on the two groups (Arendas & Kotlebova, 2019). That condition is no definite reason for the occurrence of the anomaly of the turn of the month effect; one of the hypotheses that cause the anomaly of the turn of the month effect comes from Ogden (1990), who introduced the hypothesis of liquidity anomaly of the turn of the month effect where this hypothesis states that the anomaly of the turn of the month effect is caused by the standardization of the payment system in the United States, especially regarding the disbursement of salaries during the transitional period of the month.…”

Section: Introductionmentioning

confidence: 99%

Analysis of anomaly turn of the month effect on stock return in the Indonesian capital market before and during the COVID-19 pandemic

Argantha

Rahyuda

2023

ijbem

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This study aims to examine the presence of an anomaly in the turn-of-the-month effect in Indonesia before and during the COVID-19 pandemic. The population of this study are companies listed on the LQ45 index for the 2019-2021 period. Using the purposive sampling technique and obtained 36 samples of companies. This study will compare the average return and average abnormal return of each sample which has been grouped based on the turn of the month and the rest of the month both before and during COVID-19. This study used a different test, namely the paired sample t-test which was tested using the SPSS application. The analysis result provides evidence that there was an anomaly in the turn-of-the-month effect before COVID-19 and the effect disappeared when Indonesia experienced the COVID-19 pandemic. This study also found a difference in abnormal returns in the turn of the month before and during COVID-19 where the abnormal return value was higher during the COVID-19 pandemic.

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The Turn of the Month Effect on CEE Stock Markets

Cited by 14 publications

References 43 publications

Econophysics Techniques and Their Applications on the Stock Market

Econophysics Techniques and Their Applications on the Stock Market

Global mutual fund market: the turn of the month effect and investment strategy

Analysis of anomaly turn of the month effect on stock return in the Indonesian capital market before and during the COVID-19 pandemic

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