Do UAE Stock Markets Experience Turn-of-the month Anomaly? An Empirical Analysis

Elango Rengasamy, Aisha Ahmed Mohammed Amin

Abstract


This study makes an attempt to examine whether the fast emerging UAE stock markets, DFM and ADX experience Turn-of-the month anomaly as documented in the economic literature reportedly found in many advanced markets such as NYSE, DAX and FTSE. The share price behavior of eight stocks has been used in the study. An ‘event window’ of six days over the TOM (Turn of the month) period and NTOM (Non-Turn of the month) has been identified for 16 months for each of the eight stocks resulting in a total of 128 observations. The authors examined whether abnormal returns have been registered by the above stocks during the TOM window period. The results revealed that although minor differences in the mean returns have been noticed between the TOM and NTOM periods, the difference is not statistically significant except for one stock. So, the UAE stock markets do not experience TOM anomaly. This guides us to conclude that no abnormal returns can be made by the investors using the TOM anomaly in these markets. However, further investigation is necessary to identify the presence or absence of other seasonal anomalies in these markets.

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ISSN : 2251-1555