Abstract
The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during the remainder of the month. This paper investigates the presence of the Turn of the month effect in the stock markets of 11 Central and Eastern European (CEE) countries. We focused not only on the anomaly in returns, but also on the anomaly in price volatility. The results show that, during a 20-year period (1999–2018), a statistically significant Turn of the month effect was present in the stock markets of seven out of 11 investigated countries. However, the anomaly affected only the stock market returns, not price volatility.
Highlights
The Central and Eastern European (CEE) stock markets, with the exception of Turkey, are relatively young
The Turn of the month effect is present on stock markets of the CEE region countries, as the returns recorded during the ToM periods are statistically significantly higher compared to returns recorded during the rest of the month (RoM) periods
The results presented in the previous chapter show that a statistically significant Turn of the month effect could be found on the CEE region stock markets
Summary
The Central and Eastern European (CEE) stock markets, with the exception of Turkey, are relatively young. They were established during the 1990s, after the collapse of the centrally planned economies and transition to market economy. They keep on evolving, they still face various issues. Their liquidity tends to be lower in comparison to the developed stock markets of Western Europe and North America. Numerous authors paid attention to various issues that were related to the CEE stock markets as a group, or to some individual countries. We focus on the investigation of presence of the Turn of the month effect on the stock markets of 11 CEE region countries
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