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Turn-of-the-month effect: New evidence from an emerging stock market

Title	Turn-of-the-month effect: New evidence from an emerging stock market
Author	Kayaçetin, Volkan, Lekpek, Senad
Publication Date:	2016-08
Publication Place	- Elsevier
Subject	Calendar anomalies, Turn-of-the-month, Conditional volatility, Information-risk
Type	Periodical
Language	English
Digital	Yes
Manuscript	No
Library:	Özyeğin University
Library Asset ID	1544-6123
Record ID	f9d51cb3-336d-4fb9-8184-f1b2d7bfdfe7
Library Location	International Finance
Date	2016-08
Notes	Due to copyright restrictions, the access to the full text of this article is only available via subscription.
Sample Text	This paper analyzes the turn-of-the-month (ToM) effect in Turkish equity returns. We show that the ToM effect is strongly significant in BIST100 index over 1988–2014, and distinct from other calendar anomalies. In particular, the mean daily index return is 0.46% in the three-day period that covers the last trading day of each month and the first two trading days of the next month, and 0.09% in the remaining days. The ToM effect is more significant following months with (a) significant information flow and (b) above average market performance, and the fraction of index returns generated within the ToM period increases secularly from 39% over 1988–1996 to 49% over 1997–2005 and to 86% over 2006–2014. A similar month-end seasonal does not exist in index trading volume or realized volatility, ruling out standard liquidity or risk-based explanations. Estimating an e-GARCH model with daily index returns, however, we link the ToM effect to a decline in expected volatility in the days leading to month-turns. These findings resonate best with a story where gradual resolution of uncertainty following high information risk periods releases a large pool of “liquid funds” accumulated during such periods into the equity market, creating an abundance of liquidity and pushing equity prices up.
DOI	10.1016/j.frl.2016.04.012

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Özyeğin University

Turn-of-the-month effect: New evidence from an emerging stock market

Author Kayaçetin, Volkan, Lekpek, Senad

Publication Date 2016-08

Publication Place - Elsevier

Subject Calendar anomalies, Turn-of-the-month, Conditional volatility, Information-risk

Type Periodical

Language English

Digital Yes

Manuscript No

Library Özyeğin University

Library Asset ID 1544-6123

Record ID f9d51cb3-336d-4fb9-8184-f1b2d7bfdfe7

Library Location International Finance

Date 2016-08

Notes Due to copyright restrictions, the access to the full text of this article is only available via subscription.

Sample Text This paper analyzes the turn-of-the-month (ToM) effect in Turkish equity returns. We show that the ToM effect is strongly significant in BIST100 index over 1988–2014, and distinct from other calendar anomalies. In particular, the mean daily index return is 0.46% in the three-day period that covers the last trading day of each month and the first two trading days of the next month, and 0.09% in the remaining days. The ToM effect is more significant following months with (a) significant information flow and (b) above average market performance, and the fraction of index returns generated within the ToM period increases secularly from 39% over 1988–1996 to 49% over 1997–2005 and to 86% over 2006–2014. A similar month-end seasonal does not exist in index trading volume or realized volatility, ruling out standard liquidity or risk-based explanations. Estimating an e-GARCH model with daily index returns, however, we link the ToM effect to a decline in expected volatility in the days leading to month-turns. These findings resonate best with a story where gradual resolution of uncertainty following high information risk periods releases a large pool of “liquid funds” accumulated during such periods into the equity market, creating an abundance of liquidity and pushing equity prices up.

DOI 10.1016/j.frl.2016.04.012