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The trading month anomaly in the Financial Times Industrial Ordinary Shares Index: 1935-1994

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  • Zainudin Arsad
  • J. Andrew Coutts

Abstract

In this paper we employ a large sample of daily returns from the Financial Times Industrial Ordinary Shares Index to investigate the existence of the 'trading month' effect or the 'turn-of-the-month' effect. We tentatively conclude that a trading month effect is present, but that this effect exists for a much shorter period than has been documented by previous studies both for the US and the UK. Finally, we also document evidence which lends support to the information release hypothesis of French (1980).

Suggested Citation

  • Zainudin Arsad & J. Andrew Coutts, 1997. "The trading month anomaly in the Financial Times Industrial Ordinary Shares Index: 1935-1994," Applied Economics Letters, Taylor & Francis Journals, vol. 4(5), pages 297-299.
  • Handle: RePEc:taf:apeclt:v:4:y:1997:i:5:p:297-299
    DOI: 10.1080/758532596
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    References listed on IDEAS

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    1. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
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    3. Jaffe, Jeffrey & Westerfield, Randolph, 1989. "Is there a monthly effect in stock market returns? : Evidence from foreign countries," Journal of Banking & Finance, Elsevier, vol. 13(2), pages 237-244, May.
    4. Blume, Marshall E, 1980. "Stock Returns and Dividend Yields: Some More Evidence," The Review of Economics and Statistics, MIT Press, vol. 62(4), pages 567-577, November.
    5. Terence Mills & J. Andrew Coutts, 1995. "Calendar effects in the London Stock Exchange FT-SE indices," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 79-93.
    6. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    7. Litzenberger, Robert H. & Ramaswamy, Krishna, 1979. "The effect of personal taxes and dividends on capital asset prices : Theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 7(2), pages 163-195, June.
    8. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
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    Cited by:

    1. Paul Alagidede & Theodore Panagiotidis, 2009. "Calendar Anomalies in the Ghana Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 1-23, April.

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