A Survey of Day of the Month Effect in World Stock Markets

14 Pages Posted: 7 Nov 2012

See all articles by Dr.Jay Desai

Dr.Jay Desai

B.K.School of Business Management, Gujarat University

Arti Trivedi

Shri Chimanbhai Patel Institute of Management & Research

Date Written: November 6, 2012

Abstract

A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months in a year deliver significantly higher returns. Similar anomalies are found for week days also, where some days in a week deliver above average returns. Seasonal anomalies for researchers have been a subject of great interest and lot of literature is available worldwide. This paper examines presence of day of the month effect on ten stock markets, geographically located in different corners of the world. This paper is not intended to study only the anomalies and inefficiencies present in various world markets, it is intended to highlight the profit potential available to individual investors and professional fund managers. The date wise daily returns are calculated in percentage terms to make the phenomena easy to understand. The statistical significance of daily returns is tested with Z-Statistics, in total 310 hypotheses are tested in the research. We found day of the month effect present in all the stock markets tested across the world, some days in a month historically are found to have delivered significantly higher returns.

Keywords: seasonality, day of the month effect, stock market inefficiencies, efficient market hypothesis, portfolio management, market timing

JEL Classification: G11, G14, G15, N20, N22, N24, N25, N26

Suggested Citation

Desai, Jay and Trivedi, Arti, A Survey of Day of the Month Effect in World Stock Markets (November 6, 2012). Available at SSRN: https://ssrn.com/abstract=2171634 or http://dx.doi.org/10.2139/ssrn.2171634

Jay Desai (Contact Author)

B.K.School of Business Management, Gujarat University ( email )

Navrangpura
Ahmedabad, Gujarat 380009
India

HOME PAGE: http://www.jaydesai.net

Arti Trivedi

Shri Chimanbhai Patel Institute of Management & Research ( email )

Opp. Karnavati Club
S G Highway
Ahmedabad, 380015
India
+91-79-30076616 (Phone)

HOME PAGE: http://www.artitrivedi.com

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