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http://dx.doi.org/10.5762/KAIS.2015.16.1.308

A Study of TOM(Turn-of-the-Month) Effect in KOSDAQ Market  

Hong, Geon-Pyo (The Jeonju Branch of Hanwha Investment and Security Company)
Im, In-Seob (Dept. of Business Administration, ChonBuk National University)
Oh, Hyun-Tak (Dept. of Business Administration, ChonBuk National University)
Publication Information
Journal of the Korea Academia-Industrial cooperation Society / v.16, no.1, 2015 , pp. 308-316 More about this Journal
Abstract
The purpose of this study is to verify TOM(turn-of-the-month) effect in the Kosdaq market, and that to compare to TOM effect of KOSPI for supporting degree of identification and to find new features. For this study, as the study basis sample, we used the daily data of the KOSDAQ from January 1996 to December 2013 and verified the TOM effect through yearly, monthly, classification by event as financial crisis, different period of TOM in order to clarify the effect of the KOSPI and KOSDAQ. As a result, We find that the TOM effect in KOSDAQ is always present uniformly in yearly, monthly, event-specific, which unlike TOM period also in KOSPI and generally TOM effect in KOSDAQ market which has larger volatility was appeared more pronouncedly than KOSPI market, and particularly TOM effect of KOSDAQ was larger than that of KOSPI on financial crisis occasion. But TOM effect of KOSDAQ was less stable than KOSPI.
Keywords
Kosdaq; Market Anomaly; ROM(Rest Of the Month) Effect; TOM(Turn-of-the-Month) Effect;
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