IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789813144385_0003.html
   My bibliography  Save this book chapter

The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982–1992

In: GREAT INVESTMENT IDEAS

Author

Listed:
  • Chris R. Hensel
  • Gordon A. Sick
  • William T. Ziemba

Abstract

The mean return for small and large capitalized stocks in the cash and futures markets was positive in the first half of the month and negative in the second half of the month during the 10-year period of futures trading from May 1982–April 1992. The mean return in the cash and futures markets for small and large capitalized stocks at the turn-of-the-month fiveday trading period was significantly greater than average. There was partial anticipation of the cash turn-of-the-month effect in the futures markets on the previous three trading days. There was seasonality in the monthly return patterns, with the first and last quarter exhibiting higher returns at the turn-of-the-month and in the first half of the month. These results are an out-of-sample confirmation of the turn-of-the-month anomaly Ariel (1987) reported for the cash market in the earlier period 1963–1981. The anomaly appears in the cash and futures markets, ruling out many explanations of the cash market anomaly that are based on trading frictions.

Suggested Citation

  • Chris R. Hensel & Gordon A. Sick & William T. Ziemba, 2016. "The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982–1992," World Scientific Book Chapters, in: GREAT INVESTMENT IDEAS, chapter 3, pages 25-46, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789813144385_0003
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789813144385_0003
    Download Restriction: Ebook Access is available upon purchase.

    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789813144385_0003
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Investment Management; Portfolio Theory and Practice; Great Investors; Stock Market Anomalies; Evaluation Theory; Portfolio Performance; Stock Market Performance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789813144385_0003. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.