TOM Effects During Quiet and Turbulent Times

20 Pages Posted: 8 Dec 2013

See all articles by Ramona Dumitriu

Ramona Dumitriu

Independent

Razvan Stefanescu

affiliation not provided to SSRN

Date Written: December 6, 2013

Abstract

This paper investigates the turn-of-the-month effects presence on stock markets from 32 countries during two periods of time: a relative quiet one from January 2000 to December 2006 and a turbulent one from January 2000 to October 2013. We found some significant changes that occurred from the quiet to the turbulent times and some differences between emerging and developed markets.

Keywords: Calendar Anomalies, GARCH, Emerging and Developed Capital Market, Volatility, Persistence in Time

JEL Classification: G02, G14, G19

Suggested Citation

Dumitriu, Ramona and Stefanescu, Razvan, TOM Effects During Quiet and Turbulent Times (December 6, 2013). Available at SSRN: https://ssrn.com/abstract=2364714 or http://dx.doi.org/10.2139/ssrn.2364714

Razvan Stefanescu

affiliation not provided to SSRN

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