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Turn of the Month and Turn of the Month Surrounding Days Effects in Istanbul Stock Exchange

Cemal Berk Ouzsoy

Sibel Güven

Cemal Berk Ouzsoy and Sibel Güven are at the Department of Industrial Engineering, Middle East Technical University, Ankara, Turkey. oguzsoy{at}isbank.net.tr

We present evidence on the existence of the turn of the month and what we call turn of the month surrounding days effect in the I . stanbul Stock Exchange (ISE) for the period between 1988 and 1999, using ISE National 100 Composite Index and 30 most highly traded stocks of ISE (ISE 30 stocks). The usual definition of the turn, that is, days –1 to +4, is found to be statistically significant at the 10 per cent level for ISE National 100 Composite Index with comparably higher average returns than the rest of the month. However, the results obtained for the days surrounding the turn, that is, the period consisting of days –4 to –2 and +5 to +9, are statistically much more crucial than the results for the turn period itself. The average return in the turn of the month surrounding days is drastically smaller than the average return in the rest of the month, and the results are statistically significant at the 1 per cent level for the index. In the analysis of ISE 30 stocks individually, for the turn period, it is observed that while only seven of the ISE 30 stocks have significant F-statistics, average returns for all stocks without exception for the turn period are higher than the rest of the month. For the surrounding days, confirming the strange characteristics obtained for the index, 19 of the ISE 30 stocks have significant F-statistics (13 of them at the 1 per cent level) and there is not a single stock whose average return for the turn of the month surrounding days is higher than the average return for the rest of the month.

Key Words: JEL Classification: G10 • JEL Classification: G14 • JEL Classification: G15 • Turn of the month effect • turn of the month surrounding days effect • behaviour of emerging markets • stanbul Stock Exchange

Journal of Emerging Market Finance, Vol. 5, No. 1, 1-13 (2006)
DOI: 10.1177/097265270500500101


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