Turn-of-the-month and Intramonth Anomalies and U.S. Macroeconomic News Announcements on the Thinly Traded Finnish Stock Market

Jussi Nikkinen, Petri Sahlström, Karri Takko, Janne Äijö


Evidence from the U.S. stock market as well as from major European stock markets has lately suggested that the turn-of-the-month (hereafter TOM) and intramonth anomalies occur because of major U.S. macroeconomic news announcements that are released around the TOM. World-wide markets are becoming more integrated and therefore in this study we hypothesize that major U.S. macroeconomic news announcements are also the cause for the TOM and intramonth effects on the thinly traded Finnish market. This study uses Finnish data to first identify significant TOM and intramonth effects and second to investigate whether these anomalies arise because of the clustered major U.S. macroeconomic news announcements. Both so-called calendar anomalies are evident, but after controlling for the effect of the major U.S. news releases the anomalies disappear, resulting in further evidence for the significance of the clustered U.S. macroeconomic news announcements. The results of this study are in line with earlier findings and claim that the TOM and intramonth anomalies are driven by the clustered release of major U.S. macroeconomic news announcements.

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DOI: https://doi.org/10.5539/ijef.v1n2p3

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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)  Email: ijef@ccsenet.org

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