The Turn of the Month Effect in Asia-Pacific Markets: New Evidence

Aziz, T. and Ansari, V.A. (2018) The Turn of the Month Effect in Asia-Pacific Markets: New Evidence. Global Business Review, 19 (1). pp. 214-226. ISSN 9721509

Full text not available from this repository.
Official URL:


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. © 2018, © 2018 International Management Institute, New Delhi.

Item Type: Article
Uncontrolled Keywords: Asia-Pacific markets; calendar anomalies; market efficiency; The turn-of-the-month effect
Divisions: Faculties > Faculty of Management Studies & Research > Department of Business Administration
Depositing User: AMU Library
Date Deposited: 18 Jan 2018 10:54
Last Modified: 18 Jan 2018 10:54

Actions (login required)

View Item View Item