Search Results - subject:"Turn of the month"

The turn-of-the-month effect and investor trading activities in the KOSDAQ stock market

Kim, Ryumi - In: Journal of derivatives and quantitative studies : … 30 (2022) 4, pp. 260-277

The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM …

Persistent link: https://www.econbiz.de/10014226752

The turn-of-the-month effect in Pakistani stock market

Irtiza, Muhammad Sarmad; Khan, Shahbaz; Baig, Nida; … - In: Future Business Journal 7 (2021), pp. 1-11

This research intends to explore the presence of the "turn-of-the-month-effect (TOME)" in the Pakistani stock market … that the "turn-of-the-month" anomaly may disappear during stock market crisis times. The research contains signifcant …

Persistent link: https://www.econbiz.de/10012667593

A study on the level of market efficiency in five markets

Duan, Guoxi; Tanizaki, Hisashi - 2021

Persistent link: https://www.econbiz.de/10012799618

The turn of the month effect on cee stock markets

Arendas, Peter; Kotlebova, Jana - In: International Journal of Financial Studies 7 (2019) 4, pp. 1-19

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 Turn of the month effect in the stock markets of 11 Central and Eastern European (CEE) countries. We focused not … (1999-2018), a statistically significant Turn of the month effect was present in the stock markets of seven out of 11 …

Persistent link: https://www.econbiz.de/10013200235

The turn of the month effect on cee stock markets

Arendas, Peter; Kotlebova, Jana - In: International Journal of Financial Studies : open … 7 (2019) 4/57, pp. 1-19

Persistent link: https://www.econbiz.de/10012150530

Drivers of seasonal return patterns in German stocks

Weigerding, Michael; Hanke, Michael Hanke; Schwetzler, … - In: Business Research 11 (2018) 1, pp. 173-196

Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved...

Persistent link: https://www.econbiz.de/10011817094

Drivers of seasonal return patterns in German stocks

Weigerding, Michael; Hanke, Michael Hanke; Schwetzler, … - In: Business research 11 (2018) 1, pp. 173-196

Persistent link: https://www.econbiz.de/10011814870

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

of the Month Effect; Turn of the Year Effect; Month of the Year Effect; January Effect; Holiday Effect; HalloweenEffect … variables) and a trading simulation approach to test for the presence of the following anomalies: Day of the Week Effect; Turn …

Persistent link: https://www.econbiz.de/10011467782

Calendar Anomalies in the Ukrainian Stock Market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

of the Month Effect; Turn of the Year Effect; Month of the Year Effect; January Effect; Holiday Effect; Halloween Effect … variables) and a trading simulation approach to test for the presence of the following anomalies: Day of the Week Effect; Turn …

Persistent link: https://www.econbiz.de/10011480460

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

Persistent link: https://www.econbiz.de/10011536650