<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>We examine turn of the month effect for the Macedonian Stock Exchange using daily return data utilizing OLS and pooled regression analysis for the 10 components of the MBI10 index. We find that for most of the individual stock returns the coefficients of the turn-of-the-month effect are all positive indicating the presence of the turn-of-the-month effect. When the data is pooled, we obtain even stronger results. The study confirms that the turn-of-the-month effect holds for Macedonian Stock Exchange which has not been examined before. Therefore, on average, the daily return over the turn-of-the-month effect period is significantly higher than the daily return over the rest-of-the-month period and hence providing room for more investment opportunities.</p>
</abstract>

We examine turn of the month effect for the Macedonian Stock Exchange using daily return data utilizing OLS and pooled regression analysis for the 10 components of the MBI10 index. We find that for most of the individual stock returns the coefficients of the turn-of-the-month effect are all positive indicating the presence of the turn-of-the-month effect. When the data is pooled, we obtain even stronger results. The study confirms that the turn-of-the-month effect holds for Macedonian Stock Exchange which has not been examined before. Therefore, on average, the daily return over the turn-of-the-month effect period is significantly higher than the daily return over the rest-of-the-month period and hence providing room for more investment opportunities.

The Turn-of-the-Month Effect: Evidence from Macedonian Stock Exchange

Studia Universitatis „Vasile Goldis” Arad – Economics Series

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"The Turn-of-the-Month Effect: Evidence from Macedonian Stock Exchange"}

We examine turn of the month effect for the Macedonian Stock Exchange using daily return data utilizing OLS and pooled regression analysis for the 10...

The Turn-of-the-Month Effect: Evidence from Macedonian Stock Exchange

Published Online: Jul 15, 2023

Page range: 86 - 100

Received: Jun 01, 2022

Accepted: Sep 01, 2022

DOI: https://doi.org/10.2478/sues-2023-0015

Keywords
anomalous returns, turn-of-the-month effect, OLS, pooled regression

© 2023 Fitim Deari et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

The Turn-of-the-Month Effect: Evidence from Macedonian Stock Exchange

Published Online: Jul 15, 2023

Page range: 86 - 100

Received: Jun 01, 2022

Accepted: Sep 01, 2022

DOI: https://doi.org/10.2478/sues-2023-0015

Keywordsanomalous returns, turn-of-the-month effect, OLS, pooled regression

© 2023 Fitim Deari et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
anomalous returns, turn-of-the-month effect, OLS, pooled regression