turn-of-the-month effect

Turn-of-the-Month Effect

A temporary increase in stock prices during the last few days and the first few days of each month. Some analysts credit the turn of the month effect to distributions from pension funds and other retirement accounts that the pensioners immediately reinvest in the stock market. See also: Calendar effect.

turn-of-the-month effect

The tendency of stock prices to increase during the last two days and the first three days of each month. Some researchers ascribe the effect to the timing of monthly cash flows received by pension funds and reinvested in the stock market.
References in periodicals archive ?
The January effect is concerned with the abnormally higher returns during this month and the Turn-of-the-month effect refers to the patterns on the last days and the first days of any month.
Among the topics are arbitrage strategies for cross-track betting on major horse races, land and stock prices in Japan, the turn-of-the-month effect in the world's stock markets from January 1988 to January 1990, and the dosage breeding theory for predicting horse races.
who documented the presence of the turn-of-the-month effect for the Istanbul Stock Exchange defined the turn-of-the month period as the last five trading days of the month and the first five trading days of the following month.
Compton, Scott Beyer (2003), "The Turn-of-the-Month Effect Still Lives: The International Evidence," International Review of Financial Analysis 12(2): 207-221.
T-statistics are in parentheses; ***, ** and * denote statistical significance at the 1%, 5% and 10% levels respectively Table 7 Turn-of-the-month effect - Definition 01 (Elyasiani et al.
The pattern is also not driven by particular months of the year, days of the week, or turn-of-the-month effects.