A study on the presence turn-of-the-month effect in the Philippine stock market from 2000-2007

• Main Authors: Fernandez, Michaela D., Mack, Jacqueline Y., Marticion, Ivy Cristy S.
• Format: text
• Language: English
• Published: Animo Repository 2008
• Subjects: Stock exchanges > Philippines; Investments > Philippines; Investment analysis
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17485
• Institution: De La Salle University

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.