The Turn of the Month Effect in Asia-Pacific Markets: New Evidence
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BANIK, ARINDAM GLOBAL BUSINESS REVIEWSummary: 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.
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Main Library | Vol 19, No 1/ 5558623JA14 (Browse shelf(Opens below)) | Available | 5558623JA14 | |||||
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Main Library On Display | JP/GEN/Vol 19, No 1/5558623 (Browse shelf(Opens below)) | Vol 19, No 1 (10/01/2018) | Not for loan | February, 2018 | 5558623 |
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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.
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