HomeDespre ECTAEventsPolitica editorialaTrimite un articolParteneri / link-uri utileArchiveAbonamentContact

ISSN 1841-8678   (print)
ISSN 1844-0029   (online)


Archive ECTAP

Note: for the period 1994-2003 the archive of the magazine will not be available online

Supplements ECTAP

If you cannot open the pdf file you need Adobe Reader.
download Adobe Reader

Creative Commons License

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.

Keywords: TOM effect, financial crisis, Greek stock market, investment strategy .

Download the full article:  


The turbulence of cycles
Marin Dinu

Open acces




The Economicity. The Epistemic Landscape, Marin Dinu, 2016


ISSN 1841-8678 (ediția print) / ISSN 1844-0029 (ediția online)
© Copyright Asociația Generală a Economiștilor din România (AGER) / General Association of Economists From Romania  (GAER)
Redacția: 010702, București, Calea Griviței nr. 21, sector 1, E-mail:

© 2006-2019 AGER