In this paper, we examine the impact of investor structure on return seasonality driven by institutional investors’ seasonal trading in China’s stock markets. Our identification of investor structure is based on the unique twin market setting in China, in which shares with the same firm...

The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM effect in the KOSDAQ market and finds that the effect is significant. The TOM effect in the KOSDAQ market is not due to size, turn-of-the-year, turn-of-the-quarter or index...