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dc.contributor.authorKayaçetin, Volkan
dc.contributor.authorLekpek, Senad
dc.date.accessioned2016-06-29T13:04:30Z
dc.date.available2016-06-29T13:04:30Z
dc.date.issued2016-08
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/10679/4093
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S154461231630054X
dc.descriptionDue to copyright restrictions, the access to the full text of this article is only available via subscription.
dc.description.abstractThis paper analyzes the turn-of-the-month (ToM) effect in Turkish equity returns. We show that the ToM effect is strongly significant in BIST100 index over 1988–2014, and distinct from other calendar anomalies. In particular, the mean daily index return is 0.46% in the three-day period that covers the last trading day of each month and the first two trading days of the next month, and 0.09% in the remaining days. The ToM effect is more significant following months with (a) significant information flow and (b) above average market performance, and the fraction of index returns generated within the ToM period increases secularly from 39% over 1988–1996 to 49% over 1997–2005 and to 86% over 2006–2014. A similar month-end seasonal does not exist in index trading volume or realized volatility, ruling out standard liquidity or risk-based explanations. Estimating an e-GARCH model with daily index returns, however, we link the ToM effect to a decline in expected volatility in the days leading to month-turns. These findings resonate best with a story where gradual resolution of uncertainty following high information risk periods releases a large pool of “liquid funds” accumulated during such periods into the equity market, creating an abundance of liquidity and pushing equity prices up.
dc.language.isoengen_US
dc.publisherElsevier
dc.relation.ispartofFinance Research Letters
dc.rightsrestrictedAccess
dc.titleTurn-of-the-month effect: New evidence from an emerging stock marketen_US
dc.typeArticleen_US
dc.peerreviewedyes
dc.publicationstatuspublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID202115
dc.contributor.ozuauthorKayaçetin, Volkan
dc.identifier.wosWOS:000384397000017
dc.identifier.doi10.1016/j.frl.2016.04.012
dc.subject.keywordsCalendar anomalies
dc.subject.keywordsTurn-of-the-month
dc.subject.keywordsConditional volatility
dc.subject.keywordsInformation-risk
dc.identifier.scopusSCOPUS:2-s2.0-84964691330
dc.contributor.ozugradstudentLekpek, Senad
dc.contributor.authorMale2


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