학술저널
THE EVOLVING TURN-OF-THE-MONTH EFFECT: EVIDENCE FROM PACIFIC RIM COUNTRIES
- People & Global Business Association
- Global Business and Finance Review
- Vol.7 No.1
-
2002.0627 - 37 (10 pages)
- 2
Using daily stock returns for the decade from 1988 to 1998, this paper finds a fading of turn-of-the-month (TOM) pattern in western countries and a newly emerging pattern in Asian countries. This newly emerging pattern conflicts with previous evidence of a reverse pattern in the Japanese and Singapore markets and is supported with both parametric and non-parametric tests. The study examines the traditional turn-of-the-month period and also examines three sub-periods for additional evidence of a monthly pattern in daily prices.
Abstract
INTRODUCTION
LITERATURE REVIEW
DATA AND METHODOLOGY
RESULTS
CONCLUSION
REFERENCES
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