The Turn-of-the-Month anomaly in the New Zealand Stock Exchange

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aut.embargoNoen_NZ
aut.thirdpc.containsNoen_NZ
dc.contributor.advisorChen, Jun
dc.contributor.advisorTourani-Rad, Alireza
dc.contributor.authorRen, Haodong
dc.date.accessioned2018-04-06T03:11:47Z
dc.date.available2018-04-06T03:11:47Z
dc.date.copyright2018
dc.date.issued2018
dc.date.updated2018-04-06T02:45:35Z
dc.description.abstractThe turn-of the-month (TOM, hereafter) effect refers to the phenomenon of stock returns being higher during the first few trading days of each month. This study aims to investigate the presence of the TOM effect in the New Zealand Stock Exchange and also attempts to find out why such an anomaly exists and whether it is caused by the trading activities of institutional investors. More specifically, we examine the Turn of the Month effect in the New Zealand stock market, and find that the returns on the last 3 days of the calendar month are, on average, positive and significantly higher than on other days of the month. Furthermore, we examine three competing theories proposed by the prior literature, namely cash-driving, window dressing, and market manipulation. There are two main findings in this study. First, our evidence suggests a significant TOM effect within the large firms listed in NZX. Also, our study rules out the cash-driving theory as the reason for the TOM effect, but lends some weight to other theories, implying that the TOM anomaly may be driven by the trading activities of mutual funds.en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/11497
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.rights.accessrightsOpenAccess
dc.subjectTurn-of-Monthen_NZ
dc.subjectStocken_NZ
dc.subjectAnomalyen_NZ
dc.subjectNew Zealanden_NZ
dc.subjectFundsen_NZ
dc.subjectCash-drivingen_NZ
dc.subjectTradingen_NZ
dc.subjectInstitutional investorsen_NZ
dc.titleThe Turn-of-the-Month anomaly in the New Zealand Stock Exchangeen_NZ
dc.typeThesisen_NZ
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Theses
thesis.degree.nameMaster of Businessen_NZ
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