| dc.description.abstract | ABSTRACT
The paper investigated the existence of the Turn of the Month effect at the Nairobi stock
exchange during the period between 1st January 2003 and 31st Dec 2007 using daily observations
of the NSE-20 Share index covering the mentioned period. Turn of the Month (TOM) is defined
as the tendency of stock prices to rise on the last trading day of the month and the first eight
trading days of the next month. A log formula was used to compute daily returns on the NSE
Index and thereafter means and standard deviations of both the turn of the month and the rest of
the month periods were calculated and compared while applying the student’s t-test. The results
showed that the average market return for the Turn of the Month was always higher than the
returns for the Rest of the Month for all the years except for the year 2004.Using the last trading
day of the month and the first three days of the month, it was observed that no evidence
supported the existence of the turn of the month effect. However, using the last trading day of the
month and the first eight days, there was evidence to support the turn of the month effect. It was
therefore, concluded that there exists a turn of the month effect at the Nairobi Stock Exchange..
This was in congruence with Ariel (1987) who found that positive returns occur on the days just
before and during the first half of the month in which case he defined the first half of the month
to include the last trading day of the previous month and the first eight trading days of the month. | en |
