Theoretical and Applied Economics
No. 10 / 2014 (599)
Turn Of the Month Effect and Financial Crisis: A new explanation from the Greek Stock Market (2002-2012)
University of the Aegean, Greece
Abstract. This study’s main objective is to examine the turn of the month (TOM) effect under changing financial trends. For this reason we need to focus on a stock market which (i) does not present significant structural changes, and (ii) presents clear and long term periods of financial growth and recession. The Greek stock market during the period 2002-12 is the most appropriate. We applied a TGARCH asymmetry model which best fits to our data sample due to the leverage effect. The empirical findings suggest that: (i) there is a strong predisposition in favour of the TOM effect, (ii) the financial trend and the volatility shifts influence the TOM effect, and (iii) the TOM days do not present negative returns even during the long term recession period. Moreover, this approach may pave the way for an alternative explanation as to why the TOM effect fades of persists through time.
Contents
How growth-friendly are productive public expenditures? An empirical analysis for Eastern Europe
The validity of Marshall-Lerner condition in Turkey: A cointegration approach
Turn Of the Month Effect and Financial Crisis: A new explanation from the Greek Stock Market (2002-2012)
Econometric model used in the capital market analysis
Economic order, catallactics and entrepreneurship
Public-private partnership in the context of regional development – a solution for renewable energy projects?
Mixed strategy Nash Equilibrium and Quantal Response Equilibrium. An experimental comparison using RPS games