Changes in the Behavior of Stocks Returns During the Turn-of-the-Quarter

XII International & Interdisciplinary Scientific Conference VANGUARD SCIENTIFIC INSTRUMENTS IN MANAGEMENT 2019

12 Pages Posted: 24 Oct 2019 Last revised: 29 Oct 2019

See all articles by Ramona Dumitriu

Ramona Dumitriu

University Dunarea De Jos Galati

Razvan Stefanescu

University Dunarea De Jos Galati

Date Written: October 13, 2019

Abstract

Some calendar anomalies are not persistent in time. They experience various changes, including the modifications on their specific time intervals. This paper approaches the persistence in time of the abnormal returns of stock returns from United States capital market during the turn-of-the-quarter interval. We employed the data from three major indexes (Standard & Poor's 500, Dow Jones Industrial Average and NASDAQ Composite) during two periods: a relative quiet period from January 1990 to December 2006 and a more turbulent period from January 2007 to July 2019. For the first period we found, for two of the three indexes, that, comparing with the average, the returns from the last trading day of a quarter were significant lower, while the returns from the first trading day of a quarter were significant higher. In the case of second period the results indicate that, for all three indexes, comparing with the average, the returns from the last fifth and fourth trading day of a quarter were significant lower, while the returns from the first trading day of a quarter were significant higher.

Keywords: Persistence in time of the calendar anomalies; Turn-of-the-quarter Effect; US stock market

JEL Classification: G40, G10, G14

Suggested Citation

Dumitriu, Ramona and Stefanescu, Razvan, Changes in the Behavior of Stocks Returns During the Turn-of-the-Quarter (October 13, 2019). XII International & Interdisciplinary Scientific Conference VANGUARD SCIENTIFIC INSTRUMENTS IN MANAGEMENT 2019. Available at SSRN: https://ssrn.com/abstract=3469118 or http://dx.doi.org/10.2139/ssrn.3469118

Ramona Dumitriu (Contact Author)

University Dunarea De Jos Galati ( email )

Romania

Razvan Stefanescu

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

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