Turn of the Month effect in the New Zealand stock market

Jun Chen, Bart Frijns, Ivan Indriawan and Haodong Ren

New Zealand Economic Papers, 2019, vol. 53, issue 3, 288-306

Abstract: We examine the Turn of the Month effect in the New Zealand stock market and find that returns on the last three days of the calendar month are, on average, positive and significantly higher than on other days of the month. This Turn of the Month effect is robust to various stock characteristics, such as company size, trading activity, year- and firm-level fixed effects, and is robust over time, i.e. before and after the Global Financial Crisis. We examine various explanations for the Turn of the Month effect, such as dividend payments, price pressures, and window dressing, but none of these explain the observed Turn of the Month effect. Hence, this effect remains a puzzle that can potentially be exploited in a trading strategy.

Date: 2019
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DOI: 10.1080/00779954.2018.1513058

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