THE EVOLVING TURN-OF-THE-MONTH EFFECT: EVIDENCE FROM PACIFIC RIM COUNTRIES

Abstract

Using daily stock returns for the decade from 1988 to 1998, this paper finds a fading of turn-oj-the- month (TOM) pallern in western countries and a newly emerging pallern in Asian countries. This newly emerging pattern conflicts with previous evidence ofa reverse pattern in the Japanese and Singapore markets and is supported with both parametric and non-parametric tests. The study examines the traditional turn-oj- the-month period and also examines three sub-periods for additional evidence ofa monthly pallern in daily prices.