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

Date of Publication

2013

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Mar Andriel Umali

Defense Panel Chair

Tyrone Panzer Chan Pao

Defense Panel Member

Joseph Vincent David
Neriza Delfino

Abstract/Summary

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.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21570

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

80, [70] leaves

Keywords

Stock exchanges--Asia

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