Are the 'Turn of the Month' Days Profitable Even During Severe Crisis? Evidence from the Greek Stock Market

Abstract

This study's main objective is to examine the turn of the month (TOM) effect under changing financial trends. For this reason we need to focus on a stock market which (i) does not present significant structural changes, and (ii) presents clear and long term periods of financial growth and recession. The Greek stock market during the period 2002-12 is the most appropriate. We applied a TGARCH asymmetry model which best fits to our data sample due to the leverage effect. The empirical findings suggest that: (i) there is a strong predisposition in favour of the TOM effect, (ii) the financial trend and the volatility shifts influence the TOM effect, and (iii) the TOM days do not present negative returns even during the long term recession period. Moreover, this approach may pave the way for an alternative explanation as to why the TOM effect fades of persists through time.