Finnish turn‐of‐the‐month effects: Returns, volume, and implied volatiliy

Abstract

Recently, Martikainen, Perttunen, and Ziemba (henceforth, MPZ) (1 994) investigated the regularity of the TOM effect in 24 stock markets and 12 different regional indices of the world. They reported that the TOM effect exists for most countries as well as for regions. However, the TOM effect seemed not to exist in some small stock markets, such as those of Finland, Mexico, New Zealand, and Australia.We are grateful to Lasse Jaaskelainen, Arto Laakkonen, Ricardo Leal, the participants of the 1 s t Annual Conference on Multinational Financial Issues in Atlantic City, and two anonymous JFM referees for useful comments. All remaining errors are ours. 'In his pioneering work, Ariel (1987) found that the returns of U.S. Stocks were larger at the TOM than in the rest of the month for the period of 1963-1981. His results have been supported by, cg.CCC 0270-731 4/95/060605-11 'A major Finnish business newspaper, Kairppalehti, and the leading newspaper, Helsingin Sanomat, discussed the seasonality in their stock market commentaries on October 1, 1993, and September 28, 1993, respectively. 3Exceptions are the studies by Lakonishok and Maberly (1990) and Martikainen and Puttonen (1993). who investigate volume figures in connection with the day-of-the-week effect.

Efficiency tests in the Spanish futures markets

“…The overwhelming evidence presented in this paper suggests that the MEFF futures markets are efficient. Considering its relatively short history, this evidence of efficiency in the MEFF futures markets is remarkable, because some studies on other emerging futures markets (see, e.g., Bü hler and Kempf ,1995), and Martikainen et al (1995) have shown that the assumption of the random walk hypothesis is violated, thus providing evidence of inefficiency in those markets. The evidence presented in this paper helps explain why the MEFF futures markets have experienced phenomenal growth in its short history since inception.…”

Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements

“…1 The TOM and intramonth anomalies investigated here have been extensively researched (see, e.g., Ariel, 1987;Cinar & Vu, 1991;Hensel, Sick, & Zemba, 1994;Lakonishok & Smidt, 1988;Martikainen, Perttunen, & Puttonen, 1995). The literature shows that returns are significantly positive at the TOM (e.g., Cadsby & Ratner, 1992;Odgen, 1990) and that returns are positive (zero or even negative) in the first (second) half of the month (Ariel, 1987;Lakonishok & Smidt, 1988).…”

Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs

“…In addition, the evidence provides support for both the window dressing and preferred 1 For example, the turn-of-the-month effect has been documented in domestic stock markets (Ariel 1987), REIT stocks (Redman, Manakyan and Liano 1997) and bond markets (Jordan and Jordan 1991). 2 International evidence for the turn-of-the-month effect has been discovered in Italy (Barone 1990), Japan (Ziemba 1991), the UK (Ziemba 1994), Finland (Martikainen et al 1995), Australia, Canada, Germany and Switzerland (Cadsby and Ratner 1992). In addition, several studies find evidence for this effect in multiple countries over a consistent sample period (Agrawal andTandon 1994 andBeyer 2003). habitat hypotheses.…”