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A note on the turn of the month and year effects in international stock returns
The European Journal of Finance, 2012This examination of the turn of the month (TOM) and turn of the year (TOY) effects in 50 international stock indices, for the period 1994–2006, characterises the degree that the effects are influenced by: (i) the gross domestic product of the economy, (ii) the sign of the return on the prior day (called the prior day effect), (iii) a temporal indicator
Mohammed S. Khaled, Stephen P. Keef
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Month-of-the-Year, Heavy-Spending Holiday and Firm Size Effect: Asian Evidence
SSRN Electronic Journal, 2012The results of this study indicate that the January effect has been replaced by a February effect in emerging Asian stock markets. The February effect may be a phenomenon reflecting investors’ response to the need for liquidity before the heavy-spending characteristic of the Chinese New Year, which requires investors to raise cash to finance their ...
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Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns
Eastern Africa Social Science Research Review, 2009Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory.
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Month of the Year Effect in Istanbul Stock Exchange
2014Bu çalışmada, İstanbul Menkul Kıymetler Borsasında Yılın Ayı Etkisi’nin varlığı araştırılmıştır. İkinci seans günlük kapanış değerleri kullanılarak IMKB-100 endeksinin günlük logaritmik getirileri, 20002010 dönemi için hesaplanmıştır. Söz konusu dönem 2000-2005 ve 2006-2010 alt dönemlerine ayrılmıştır.
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An Examination of the Month-of-the-year Effect at Damascus Securities Exchange
2016This paper explores the existence of the month-of-the-year effect in a newly established exchange of Damascus Securities Exchange (DSE). It employs Ordinary Least Squares Estimates (OLS) and dummy variables for the whole working period of the exchange from 2010 to 2015.
MOUSELLİ, Sulaiman, SAMMAN, Hazem Al
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Static or adaptive the month-of-the-year and intra-month effects in African stock markets
International Journal of Monetary Economics and Finance, 2020Adefemi A. Obalade +1 more
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The Month-of-the-Year Effect in Post-Communist East European Stock Markets [PDF]
, 2014 This paper studies the month-of-the-year (MOY) effect between 2004 and 2014, also considering the impact of the 2008 crisis. MOYis present in most East European countries, but the patterns changebetween countries and, also, as a result of the crisis.Thus, markets should be analyzed separately and periodically, especially after important events, as ...
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