Does the Settlement Cycle of a Market Predict the Timing of the Turn-of-the-Month Return Reversal? Evidence from Settlement Cycle changes.

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Nyberg, Peter
dc.contributor.author Konttinen, Otso H.
dc.date.accessioned 2018-11-19T13:01:19Z
dc.date.available 2018-11-19T13:01:19Z
dc.date.issued 2018
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/34780
dc.description.abstract PURPOSE OF THIS THESIS The purpose of this thesis is to determine if the settlement cycle of a market predicts the timing of the turn-of-the-month return reversal. I use settlement cycle changes in developed countries and study the behaviour of daily average returns around month ends. My main hypotheses are that the turn-of-the-month effect exists in the markets I study, and that the settlement cycle of a market determines the timing of the positive return reversal before month end. DATA AND METHODOLOGY I use benchmark stock index data from developed countries that have had a settlement cycle change during the last three decades. To determine the daily average returns of the turn-of-the-month days during different settlement cycle periods, I run dummy variable regressions. To test the differences in daily average returns during different periods, I run difference-in-means tests. FINDINGS First, I find that more recent the subsample, the weaker the turn-of-the-month effect is in all of the markets I study. In many markets, the turn-of-the-month effect has disappeared completely. I do not find strong evidence to support my hypothesis that the settlement cycle of a market predicts the timing of the turn of the month return reversal. My findings imply that markets are, or have become, more efficient than many studies suggest. en
dc.format.extent 82
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Does the Settlement Cycle of a Market Predict the Timing of the Turn-of-the-Month Return Reversal? Evidence from Settlement Cycle changes. en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword anomalies en
dc.subject.keyword seasonal anomalies en
dc.subject.keyword turn of the month effect en
dc.subject.keyword return reversals en
dc.identifier.urn URN:NBN:fi:aalto-201811195812
dc.type.ontasot Master's thesis en
dc.type.ontasot Maisterin opinnäyte fi
dc.programme Finance en
dc.location P1 I fi
local.aalto.electroniconly yes
local.aalto.openaccess yes


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