The turn of the month effect in India: A case of large institutional trading pattern as a source of higher liquidity

Daniela Maher; Anokhi Parikh

doi:10.1016/j.irfa.2013.02.011

The turn of the month effect in India: A case of large institutional trading pattern as a source of higher liquidity

Daniela Maher, Anokhi Parikh

Accounting and Finance division

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Abstract

We examine (via parametric and non-parametric tests) the turn of the month effect in the returns of various, size-conditioned Indian stock indices, across time, in up and down markets and independent of other seasonal anomalies. We find little support for the payday and the US macroeconomic news announcements hypotheses. Instead, we show that institutional traders (foreign and domestic) significantly increase their trading volumes (on the buying side) at month end, potentially pushing prices up. There is no evidence of a similar behavior on the retail side. We suggest this to be a major cause of the observable TOM effect in India. © 2013 Elsevier Inc.

Original language	English
Pages (from-to)	57-69
Number of pages	12
Journal	International Review of Financial Analysis
Volume	28
DOIs	https://doi.org/10.1016/j.irfa.2013.02.011
Publication status	Published - Jun 2013

Keywords

Institutional traders
Liquidity
Market efficiency
Returns
Turn of the month

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.irfa.2013.02.011

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abstract = "We examine (via parametric and non-parametric tests) the turn of the month effect in the returns of various, size-conditioned Indian stock indices, across time, in up and down markets and independent of other seasonal anomalies. We find little support for the payday and the US macroeconomic news announcements hypotheses. Instead, we show that institutional traders (foreign and domestic) significantly increase their trading volumes (on the buying side) at month end, potentially pushing prices up. There is no evidence of a similar behavior on the retail side. We suggest this to be a major cause of the observable TOM effect in India. {\textcopyright} 2013 Elsevier Inc.",

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AU - Maher, Daniela

AU - Parikh, Anokhi

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N2 - We examine (via parametric and non-parametric tests) the turn of the month effect in the returns of various, size-conditioned Indian stock indices, across time, in up and down markets and independent of other seasonal anomalies. We find little support for the payday and the US macroeconomic news announcements hypotheses. Instead, we show that institutional traders (foreign and domestic) significantly increase their trading volumes (on the buying side) at month end, potentially pushing prices up. There is no evidence of a similar behavior on the retail side. We suggest this to be a major cause of the observable TOM effect in India. © 2013 Elsevier Inc.

AB - We examine (via parametric and non-parametric tests) the turn of the month effect in the returns of various, size-conditioned Indian stock indices, across time, in up and down markets and independent of other seasonal anomalies. We find little support for the payday and the US macroeconomic news announcements hypotheses. Instead, we show that institutional traders (foreign and domestic) significantly increase their trading volumes (on the buying side) at month end, potentially pushing prices up. There is no evidence of a similar behavior on the retail side. We suggest this to be a major cause of the observable TOM effect in India. © 2013 Elsevier Inc.

KW - Institutional traders

KW - Liquidity

KW - Market efficiency

KW - Returns

KW - Turn of the month

U2 - 10.1016/j.irfa.2013.02.011

DO - 10.1016/j.irfa.2013.02.011

M3 - Article

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VL - 28

SP - 57

EP - 69

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

ER -

The turn of the month effect in India: A case of large institutional trading pattern as a source of higher liquidity

Abstract

Keywords

UN SDGs

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