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Turn Of the Month Effect and Financial Crisis: A new explanation from the Greek Stock Market (2002-2012)

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  • Evangelos VASILEIOU

    (University of the Aegean, Greece)

Abstract

This study’s main objective is to examine the turn of the month (TOM) effect under changing financial trends. For this reason we need to focus on a stock market which (i) does not present significant structural changes, and (ii) presents clear and long term periods of financial growth and recession. The Greek stock market during the period 2002-12 is the most appropriate. We applied a TGARCH asymmetry model which best fits to our data sample due to the leverage effect. The empirical findings suggest that: (i) there is a strong predisposition in favour of the TOM effect, (ii) the financial trend and the volatility shifts influence the TOM effect, and (iii) the TOM days do not present negative returns even during the long term recession period. Moreover, this approach may pave the way for an alternative explanation as to why the TOM effect fades of persists through time.

Suggested Citation

  • Evangelos VASILEIOU, 2014. "Turn Of the Month Effect and Financial Crisis: A new explanation from the Greek Stock Market (2002-2012)," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(10(599)), pages 33-58, October.
    • Handle: RePEc:agr:journl:v:xxi:y:2014:i:10(599):p:33-58
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    Cited by:

    1. Vasileiou, Evangelos, 2018. "Is the turn of the month effect an “abnormal normality”? Controversial findings, new patterns and…hidden signs(?)," Research in International Business and Finance, Elsevier, vol. 44(C), pages 153-175.
    2. Muhammad Sarmad Irtiza & Shahbaz Khan & Nida Baig & Syed Muhammad Ali Tirmizi & Ilyas Ahmad, 2021. "The turn-of-the-month effect in Pakistani stock market," Future Business Journal, Springer, vol. 7(1), pages 1-11, December.

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