Agric. Econ. - Czech, 2023, 69(3):101-108 | DOI: 10.17221/17/2023-AGRICECON

Agricultural commodity markets and the Turn of the month effectOriginal Paper

Peter Árendáš ORCID...1, Jana Kotlebová ORCID...1
1 Department of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, Bratislava, Slovakia

The Turn of the month (ToM) effect is a calendar anomaly when the majority of returns of an asset are concentrated into several days around the end of the old month and the start of the new one. Until now, the investigation of the ToM effect has mainly been focused on the stock markets. However, this paper investigates the presence of the ToM effect in eight key agricultural commodity markets (cocoa, coffee, corn, cotton, rice, soybean, sugar, wheat), using three different alternatives of the ToM window, during the 2001–2021 time period. The results show a statistically significant ToM effect in the rice, coffee, and sugar markets. Further results show that the ToM pattern changed during the COVID-19 pandemic, and that, in the case of commodities with a statistically significant ToM effect, the ToM effect can be efficiently used to beat the buy & hold investment strategy convincingly.

Keywords: abnormal return; calendar anomaly; investment strategy; market efficiency

Received: January 13, 2023; Revised: February 22, 2023; Accepted: February 28, 2023; Prepublished online: March 24, 2023; Published: March 30, 2023  Show citation

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Árendáš P, Kotlebová J. Agricultural commodity markets and the Turn of the month effect. Agric. Econ. - Czech. 2023;69(3):101-108. doi: 10.17221/17/2023-AGRICECON.
Share...
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. Agrawal A., Tandon K. (1994): Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13: 83-106. Go to original source...
    2. Andrade S.C., Chhaochharia V., Fuerst M.E. (2013): 'Sell in May and go away' just won't go away. Financial Analysts Journal, 69: 94-105. Go to original source...
    3. Arendas P. (2017): The Halloween effect on the agricultural commodities markets. Agricultural Economics - Czech, 63: 441-448. Go to original source...
    4. Arendas P., Kotlebova J. (2019): The turn of the month effect on CEE stock markets. International Journal of Financial Studies, 7: 1-19. Go to original source...
    5. Ariel R.A. (1987): A monthly effect in stock returns. Journal of Financial Economics, 18: 621-628. Go to original source...
    6. Ariel R.A. (1990): High stock returns before holidays: Existence and evidence on possible causes. The Journal of Finance, 45: 1611-1626. Go to original source...
    7. Aziz T., Ansari V.A. (2017): The Turn of the Month effect in Asia-Pacific markets: New evidence. Global Business Review, 19: 214-226. Go to original source...
    8. Bouman S., Jacobsen B. (2002): The Halloween indicator, 'sell in May and go away': Another puzzle. American Economic Review, 92: 1618-1635. Go to original source...
    9. Burakov D., Freidin M. (2018): Is the Halloween Effect present on the markets for agricultural commodities? Agris On-line Papers in Economics and Informatics, 10: 23-32. Go to original source...
    10. Burnett J.E. (2017): Liquidity and investor confidence in the turn-of-the-month regularity. Applied Economics Letters, 24: 273-278. Go to original source...
    11. Cadsby C., Ratner M. (1992): Turn-of-month and pre-holiday effects on stock returns: Some international evidence. Journal of Banking & Finance, 16: 497-509. Go to original source...
    12. Fama E. (1965): Random walks in stock market prices. Financial Analysts Journal, 21: 55-59. Go to original source...
    13. Chen J., Frijns B., Indriawan I., Ren H. (2018): Turn of the Month effect in the New Zealand stock market. New Zealand Economic Papers, 53: 288-306. Go to original source...
    14. Kayacetin V., Lekpek S. (2016): Turn-of-the-month effect: New evidence from an emerging stock market. Finance Research Letters, 18(C): 142-157. Go to original source...
    15. Kumar S. (2022): Turn-of-the-month effect in cryptocurrencies. Managerial Finance, 48: 821-829. Go to original source...
    16. Kunkel R.A., Compton W.S. (1998): A tax-free exploitation of the turn-of-the-month effect: C.R.E.F. Financial Services Review, 7: 11-23. Go to original source...
    17. Kunkel R.A., Compton W.S., Beyer S.B. (2003): The turn-of-the-month effect still lives: The international evidence. International Review of Financial Analysis, 12: 207-221. Go to original source...
    18. Lakonishok J., Smidt S. (1988): Are seasonal anomalies real? A ninety-year perspective. Review of Financial Studies, 1: 403-424. Go to original source...
    19. Lee Y.K., Ryumi K. (2022): The turn-of-the-month effect and trading of types of investors. Pacific-Basin Finance Journal, 75: 101826. Go to original source...
    20. Liu L. (2013): The Turn-Of-The-Month effect in the S & P 500 (2001-2011). Journal of Business & Economics Research, 11: 269-276. Go to original source...
    21. Maher D., Parikh A. (2013): The turn of the month effect in India: A case of large institutional trading patterns as a source of higher liquidity. International Review of Financial Analysis, 28: 57-69. Go to original source...
    22. Nikkinen J., Sahlström P., Takko K., Janne A. (2009): Turn-of-the-month and intramonth anomalies and US macroeconomic news announcements on the thinly traded Finnish stock market. International Journal of Economics and Finance, 1: 3-11. Go to original source...
    23. Nilsson L. (2015): Turn-of-the-Month: Window dressing behavior. Available at https://ssrn.com/abstract=2648136 (accessed Jan 10, 2023). Go to original source...
    24. Ogden J.P. (1990): Turn-of-Month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects. The Journal of Finance, 45: 12591272. Go to original source...
    25. Philpot J., Peterson C.A. (2011): A brief history and recent developments in day-of-the-week effect literature. Managerial Finance, 37: 808-816. Go to original source...
    26. Singh G., Bhattacharjee K., Kumar S. (2021): Turn-of-the-month effect in three major emerging countries. Managerial Finance, 47: 555-569. Go to original source...
    27. Vasileiou E. (2018): Is the turn of the month effect an abnormal normality? Controversial findings, new patterns and… hidden signs(?). Research in International Business and Finance, 44: 153-175. Go to original source...
    28. Vasileiou E. (2021): Turn-of-the-month effect, FX influence, and efficient market hypothesis: New perspectives from the Johannesburg stock exchange. Macroeconomics and Finance in Emerging Market Economies 9: 1-17. Go to original source...

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International (CC BY NC 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content