Presence of the turn-of-the-month effect in selected Asian stock markets from 2001-2010

• Main Authors: Aguinaldo, Richard G., Lindo, Joshua Ruben M., Osit, Calvin V., Taliano, Thaddeus Darius V.
• Format: text
• Language: English
• Published: Animo Repository 2013
• Subjects: Stock exchanges > Asia; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18401
• Institution: De La Salle University

Efficient market hypothesis (EMH) has always been challenged with new evidences of calendar anomalies in the stock market. This paper examines the existence of the turn-of-the-month (TOM) effect in the selected Asian stock markets namely, Hang Seng index of Hong Kong, Nikkei 225 index of Japan, SSE index of China, and KOSPI index of Korea from 2001 to 2010 using OLS dummy regressions and descriptive statistics. The results of the study show that the TOM effect exists in both the KOSPI index and Nikkei 225 showed no evidence of the anomaly. U.S. macroeconomic news namely imports and exports price indices and the ISM: manufacturing reports were identified to be the likely cause of the TOM effect in Korea while in China none of the news have a tendency to influence the said anomaly.