The Turn of the Month Effect on CEE Stock Markets

Peter Arendas and Jana Kotlebova
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Peter Arendas: Department of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, 852 35 Bratislava, Slovakia
Jana Kotlebova: Department of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, 852 35 Bratislava, Slovakia

IJFS, 2019, vol. 7, issue 4, 1-19

Abstract: 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.

Keywords: turn of the month effect; calendar anomaly; stock market; CEE; G01; G14; G15 (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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