Next Article in Journal
The Laws of Motion of the Broker Call Rate in the United States
Previous Article in Journal
The Role of Political Connections on Family Firms’ Performance: Evidence from Indonesia
Open AccessArticle

The Turn of the Month Effect on CEE Stock Markets

Department of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, 852 35 Bratislava, Slovakia
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2019, 7(4), 57; https://doi.org/10.3390/ijfs7040057
Received: 28 June 2019 / Revised: 13 September 2019 / Accepted: 16 September 2019 / Published: 1 October 2019
The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during the remainder of the month. This paper investigates the presence of the Turn of the month effect in the stock markets of 11 Central and Eastern European (CEE) countries. We focused not only on the anomaly in returns, but also on the anomaly in price volatility. The results show that, during a 20-year period (1999–2018), a statistically significant Turn of the month effect was present in the stock markets of seven out of 11 investigated countries. However, the anomaly affected only the stock market returns, not price volatility. View Full-Text
Keywords: turn of the month effect; calendar anomaly; stock market; CEE; JEL Classification; G01; G14; G15 turn of the month effect; calendar anomaly; stock market; CEE; JEL Classification; G01; G14; G15
Show Figures

Figure 1

MDPI and ACS Style

Arendas, P.; Kotlebova, J. The Turn of the Month Effect on CEE Stock Markets. Int. J. Financial Stud. 2019, 7, 57.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop