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Finnish turn-of-the-month effects: Returns, volume, and implied volatiliy

✍ Scribed by Teppo Martikainen; Jukka Perttunen; Vesa Puttonen

Publisher: John Wiley and Sons
Year: 1995
Tongue: English
Weight: 613 KB
Volume: 15
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990150602

No coin nor oath required. For personal study only.

✦ Synopsis

Recently, Martikainen, Perttunen, and Ziemba (henceforth, MPZ) (1 994) investigated the regularity of the TOM effect in 24 stock markets and 12 different regional indices of the world. They reported that the TOM effect exists for most countries as well as for regions. However, the TOM effect seemed not to exist in some small stock markets, such as those of Finland, Mexico, New Zealand, and Australia.

We are grateful to Lasse Jaaskelainen, Arto Laakkonen, Ricardo Leal, the participants of the 1 s t Annual Conference on Multinational Financial Issues in Atlantic City, and two anonymous JFM referees for useful comments. All remaining errors are ours. 'In his pioneering work, found that the returns of U.S. Stocks were larger at the TOM than in the rest of the month for the period of 1963-1981. His results have been supported

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