The turn of the month effect on cee stock markets

Artikel

The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during the remainder of the month. This paper investigates the presence of the Turn of the month effect in the stock markets of 11 Central and Eastern European (CEE) countries. We focused not only on the anomaly in returns, but also on the anomaly in price volatility. The results show that, during a 20-year period (1999-2018), a statistically significant Turn of the month effect was present in the stock markets of seven out of 11 investigated countries. However, the anomaly affected only the stock market returns, not price volatility.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 7 ; Year: 2019 ; Issue: 4 ; Pages: 1-19 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Subject: calendar anomaly ; CEE ; stock market ; turn of the month effect

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Arendas, Peter ; Kotlebova, Jana
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2019

Further information

• DOI: doi:10.3390/ijfs7040057
• Handle: http://hdl.handle.net/10419/257655
• Last update: 10.03.2025, 11:44 AM CET