A study on the presence turn-of-the-month effect in the Philippine stock market from 2000-2007
This paper tested the significant presence of Turn-of-the-Month Effect (TOM) using the returns of the Philippine Stock Composite Index (PSEi) and the Financial (FIN), Industrial (IND), Property (PRO) and Mining & Oil (M-O) sector indices analyzed cumulatively each month across the years 2000-200...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2008
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/17485 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | This paper tested the significant presence of Turn-of-the-Month Effect (TOM) using the returns of the Philippine Stock Composite Index (PSEi) and the Financial (FIN), Industrial (IND), Property (PRO) and Mining & Oil (M-O) sector indices analyzed cumulatively each month across the years 2000-2007. An examination of the results uncovered the presence for the said monthly effect, which strongly holds in the Industrial Sector and the reverse for Mining & Oil. Further examination accounted for the pre-specified special events, with empirical results indicating a strong influence on PSE Composite, FIN and IND indices. |
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