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Turn of the Month effect in the New Zealand stock market

Author

Listed:
  • Jun Chen
  • Bart Frijns
  • Ivan Indriawan
  • Haodong Ren

Abstract

We examine the Turn of the Month effect in the New Zealand stock market and find that returns on the last three days of the calendar month are, on average, positive and significantly higher than on other days of the month. This Turn of the Month effect is robust to various stock characteristics, such as company size, trading activity, year- and firm-level fixed effects, and is robust over time, i.e. before and after the Global Financial Crisis. We examine various explanations for the Turn of the Month effect, such as dividend payments, price pressures, and window dressing, but none of these explain the observed Turn of the Month effect. Hence, this effect remains a puzzle that can potentially be exploited in a trading strategy.

Suggested Citation

  • Jun Chen & Bart Frijns & Ivan Indriawan & Haodong Ren, 2019. "Turn of the Month effect in the New Zealand stock market," New Zealand Economic Papers, Taylor & Francis Journals, vol. 53(3), pages 288-306, September.
    • Handle: RePEc:taf:nzecpp:v:53:y:2019:i:3:p:288-306
    DOI: 10.1080/00779954.2018.1513058
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    Cited by:

    1. Peter Arendas & Jana Kotlebova, 2019. "The Turn of the Month Effect on CEE Stock Markets," IJFS, MDPI, vol. 7(4), pages 1-19, October.
    2. Eric Budish & Robin S. Lee & John J. Shim, 2024. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Journal of Political Economy, University of Chicago Press, vol. 132(4), pages 1209-1246.
    3. Muhammad Sarmad Irtiza & Shahbaz Khan & Nida Baig & Syed Muhammad Ali Tirmizi & Ilyas Ahmad, 2021. "The turn-of-the-month effect in Pakistani stock market," Future Business Journal, Springer, vol. 7(1), pages 1-11, December.

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