Abstract
Abstract The purpose of this study is to verify TOM(turn-of-the-month) effect in the Kosdaq market, and that tocompare to TOM effect of KOSPI for supporting degree of identification and to find new features. For this study,as the study basis sample, we used the daily data of the KOSDAQ from January 1996 to December 2013 and verifiedthe TOM effect through yearly, monthly, classification by event as financial crisis, different period of TOM in order to clarify the effect of the KOSPI and KOSDAQ. As a result, We find that the TOM effect in KOSDAQ is alwayspresent uniformly in yearly, monthly, event-specific, which unlike TOM period also in KOSPI and generally TOM effect in KOSDAQ market which has larger volatility was appeared more pronouncedly than KOSPI market, andparticularly TOM effect of KOSDAQ was larger than that of KOSPI on financial crisis occasion. But TOM effectof KOSDAQ was less stable than KOSPI. Key Words : Kosdaq, Market Anomaly, ROM(Rest Of the Month) Effect, TOM(Turn-of-the-Month) Effect
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