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A Survey of Day of the Month Effect in World Stock Markets

Last Updated on 10 February, 2024 by Rejaul Karim

Exploring the intriguing realm of financial anomalies, “A Survey of Day of the Month Effect in World Stock Markets” by Dr. Jay Desai and Arti Trivedi, delves into the curious phenomenon of the turn of the month effect. Published on November 7, 2012, by B.K. School of Business Management, Gujarat University, and Shri Chimanbhai Patel Institute of Management & Research, this paper extends its gaze globally, investigating ten stock markets scattered across diverse corners of the world.

The research scrutinizes the day of the month effect, a seasonal anomaly where the mean return of stock markets at month-end and the beginning is notably higher than the average daily return throughout the month. This study, surpassing a mere exploration of anomalies, aims to underscore the potential for profitability available to both individual investors and professional fund managers.

Employing percentage-wise daily returns, the paper rigorously tests 310 hypotheses using Z-Statistics, revealing the ubiquitous presence of the day of the month effect across all tested global stock markets, with historically certain days demonstrating significantly elevated returns.

Abstract Of Paper

A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months in a year deliver significantly higher returns. Similar anomalies are found for week days also, where some days in a week deliver above average returns. Seasonal anomalies for researchers have been a subject of great interest and lot of literature is available worldwide. This paper examines presence of day of the month effect on ten stock markets, geographically located in different corners of the world. This paper is not intended to study only the anomalies and inefficiencies present in various world markets, it is intended to highlight the profit potential available to individual investors and professional fund managers. The date wise daily returns are calculated in percentage terms to make the phenomena easy to understand. The statistical significance of daily returns is tested with Z-Statistics, in total 310 hypotheses are tested in the research. We found day of the month effect present in all the stock markets tested across the world, some days in a month historically are found to have delivered significantly higher returns.

Original paper – Download PDF

Here you can download the PDF and original paper of A Survey of Day of the Month Effect in World Stock Markets.

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Author

Dr.Jay Desai
B.K.School of Business Management, Gujarat University

Arti Trivedi
Shri Chimanbhai Patel Institute of Management & Research

Conclusion

In summary, the survey delves into the pervasive day of the month effect across ten geographically diverse stock markets, shedding light on a curious seasonal anomaly. The findings reveal a consistent pattern wherein the daily mean return at the end and beginning of a month significantly surpasses the average daily return throughout the month.

This effect, documented across various global markets, accentuates the profit potential available to both individual investors and professional fund managers. Notably, statistical analyses employing Z-Statistics confirm the presence of day of the month anomalies, underscoring the historical tendency of certain days in a month to deliver significantly higher returns.

Beyond merely identifying inefficiencies, our study emphasizes the tangible profit opportunities inherent in exploiting these systematic patterns across world markets.

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FAQ

Q1: What is the main focus of the research article, “A Survey of Day of the Month Effect in World Stock Markets”?

The research article explores the phenomenon known as the day of the month effect, a curious seasonal anomaly in finance. Specifically, it investigates the tendency for the daily mean return of stock markets at the end and beginning of a month to be significantly higher than the average daily return throughout the month. The study extends its analysis to ten geographically diverse stock markets around the world.

Q2: Who are the authors of the paper, and where was it published?

The paper was authored by Dr. Jay Desai from B.K.School of Business Management, Gujarat University, and Arti Trivedi from Shri Chimanbhai Patel Institute of Management & Research. It was published on November 7, 2012, by B.K. School of Business Management, Gujarat University.

Q3: What are the key findings of the research regarding the day of the month effect?

The research found the day of the month effect to be present in all the tested stock markets across the world. Certain days in a month were historically identified as delivering significantly higher returns. The study emphasizes the profit potential available to both individual investors and professional fund managers by exploiting these systematic patterns.

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