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Multidimensional Analysis of Monthly Stock Market Returns

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  • Gulseven Osman

    (Faculty of Economic and Administrative Sciences, Middle East Technical University, Çankaya Ankara, Turkey)

Abstract

This study examines the monthly returns in Turkish and American stock market indices to investigate whether these markets experience abnormal returns during some months of the calendar year. The data used in this research includes 212 observations between January 1996 and August 2014. I apply statistical summary analysis, decomposition technique, dummy variable estimation, and binary logistic regression to check for the monthly market anomalies. The multidimensional methods used in this article suggest weak evidence against the efficient market hypothesis on monthly returns. While some months tend to show abnormal returns, there is no absolute unanimity in the applied approaches. Nevertheless, there is a strikingly negative May effect on the Turkish stocks following a positive return in April. Stocks tend to be bullish in December in both markets, yet we do not observe anya significant January effect is not observed.

Suggested Citation

  • Gulseven Osman, 2014. "Multidimensional Analysis of Monthly Stock Market Returns," Scientific Annals of Economics and Business, Sciendo, vol. 61(2), pages 181-196, December.
    • Handle: RePEc:vrs:aicuec:v:61:y:2014:i:2:p:181-196:n:5
    DOI: 10.2478/aicue-2014-0013
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    1. Osman Gulseven, 2020. "Turn-of-the Year Affect in Gold Prices: Decomposition Analysis," Papers 2003.11027, arXiv.org.

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