Abstract
The aim of this study is to test the existence of day of the month effect at Istanbul, Bovespa, Merval , Shanghai and Sensex stock markets whether investors have chance to benefit from these abnormal returns. In the study, emerging markets from Asia-Pacific and America are chosen and results are compared to Turkish stock index. Daily percentage returns of each market are calculated starting from the first transaction day to the December 31, 2012. 31 hypotheses for each of five markets are tested by using Z statistics. Results show that positive and negative abnormal returns exist at all of the five stock markets.
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