The Turn of the Month Effect in Asia-Pacific Markets: New Evidence
Tariq Aziz and
Valeed Ahmad Ansari
Global Business Review, 2018, vol. 19, issue 1, 214-226
A predictable pattern in equity returns based on the calendar time is dubbed as calendar anomaly. The prevalence of calendar anomalies is considered evidence against the efficient market hypothesis. This article examines one of the most important calendar anomalies, the turn-of-the-month (TOM) effect, in 12 major Asia-Pacific markets during the period January 2000 to April 2015, using both parametric and non-parametric tests. Under investigation, 11 out of 12 markets exhibit significant TOM effects that are independent of the turn-of-the-year (TOY) effect. Moreover, these effects are not present during the period of financial crisis. The persistence of the TOM effect in these markets, even after a quarter of a century of its initial reporting, is a puzzle which needs an explanation.
Keywords: The turn-of-the-month effect; calendar anomalies; market efficiency; Asia-Pacific markets (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:sae:globus:v:19:y:2018:i:1:p:214-226
Access Statistics for this article
More articles in Global Business Review from International Management Institute
Bibliographic data for series maintained by SAGE Publications ().