'Turn-of the-month' return effects for small cap Hong Kong stocks

Intra-month returns for a liquid pool of small-cap stocks in Hong Kong are analysed over the period January 2000 to June 2005. A strong and persistent 'turn-of-the-month' effect is apparent where returns, measured between the close of trading on the penultimate day of business in a calendar month and the subsequent close five business days later, are recorded at levels averaging almost 1.5%. This compares to returns over the preceding five-day period-capturing the 'end of month' effect-of almost -0.3% on average. Further analysis also points to differential 'day-of-the-week' effects with Tuesday and Friday returns in particular at noticeably lower levels during the final week of a month as compared to earlier weeks. The Tuesday effect may well be an analogue of the US Monday effect given Wang et al.'s evidence of notably lower Monday returns toward month-ends, and the suggestion of a 'delayed Monday effect' in Asian time zones due to the opening of US Monday trading hours after Hong Kong trading hours.