 Turn Of the Month Effect and Financial Crisis: A new explanation from the Greek Stock Market (2002-2012)Evangelos Vasileiou
Theoretical and Applied Economics, 2014, vol. XXI, issue 10(599), 33-58 Abstract: This study’s main objective is to examine the turn of the month (TOM) effect under changing financial trends. For this reason we need to focus on a stock market which (i) does not present significant structural changes, and (ii) presents clear and long term periods of financial growth and recession. The Greek stock market during the period 2002-12 is the most appropriate. We applied a TGARCH asymmetry model which best fits to our data sample due to the leverage effect. The empirical findings suggest that: (i) there is a strong predisposition in favour of the TOM effect, (ii) the financial trend and the volatility shifts influence the TOM effect, and (iii) the TOM days do not present negative returns even during the long term recession period. Moreover, this approach may pave the way for an alternative explanation as to why the TOM effect fades of persists through time. Keywords: TOM effect; financial crisis; Greek stock market; investment strategy . (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xxi:y:2014:i:10(599):p:33-58 Access Statistics for this article Theoretical and Applied Economics is currently edited by Mircea Dinu More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC. |
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