کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084995 1477925 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The turn of the month effect in India: A case of large institutional trading pattern as a source of higher liquidity
ترجمه فارسی عنوان
نوبت اثر ماه در هند: یک مورد از طرح بزرگ تجاری نهادی به عنوان یک منبع از نقدینگی بالاتر
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

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.

► Seasonal anomalies: turn of the month effect in returns in India ► Methods: EGARCH, Wilcoxon Signed Rank Test, Granger Causality ► Previously suggested hypotheses such as payday and US macroeconomic news: unconfirmed ► Supported hypothesis: a surge in institutional trading volumes at month end

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 28, June 2013, Pages 57-69
نویسندگان
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