The turn-of-the-month effect still lives: the international evidence

Abstract

This paper examines 19 country stock market indices for recent evidence of the turn-of-the-month (TOM) pattern in daily stock returns using both parametric and nonparametric measures to address concerns regarding methodologies applied in prior anomalies studies. We find that the 4-day TOM period accounts for 87% of the monthly return, on average, across countries, in the stock markets of 15 countries where the TOM pattern exists. These countries account for 77% of the foreign market capitalization value. The parametric and nonparametric results provide information regarding the degree to which distributional assumption violations may lead to incorrect conclusions.