Turn of the Month Effect across Equity Markets, Across Industries, and Across Extreme Market Conditions

Abstract

This study looks at the turn of the month anomaly that was first researched by Ariel (1987).We look at successive sub periods since the late 1980s, and in the context of the 2007US financial crisis to investigate whether the turn of the month effect is present across the US market, similar across industry indices, and different in bull and bear markets as well as in periods of extreme market conditions. The turn of the month effect is present in only some of the breadth of market indices in the US but is very evident in the industry indices. Periods of extreme market conditions, like the downturn in 2007, do not show this turn of the month effect. While the turn of the month effect is present across the entire sample period for some indices, the earlier sub-period up to 1998 seems to account for much of this observation.