Does turn-of-the-month (TOM) effect still exist? Fresh evidence from international indices
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School of Business |
Bachelor's thesis
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Authors
Date
2023
Department
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Mcode
Degree programme
Rahoitus
Language
en
Pages
23
Series
Abstract
This thesis examines daily market returns of 15 stock market indices from 1983 to 2022 to establish whether turn-of-the-month (TOM) effect still exist in international indices. To evaluate the significance of the TOM effect I employ both parametric and nonparametric tests. I show that TOM effect exists in 14 out of 15 indices examined during the period of 1983-2013. When controlling for seasonal effects, 11 out of 15 indices still exhibit significant results. These results are similar to what other researchers have established. With more recent time-series of 2014-2022 I find that TOM effect has almost completely faded from the international markets examined. Only New Zealand’s index still show significant TOM effects, even after controlling for other seasonal effects.Description
Thesis advisor
Keloharju, MattiKeywords
TOM effect, time-of-the-month, anomality, stock market