An empirical investigation of the turn-of-the month effects for companies quoted at Nairobi Stock Exchange
A central challenge to the Efficiency Market Hypothesis (EMH) is the existence of stock _ market anomalies.-This study tries to determine whether the-turn-of-the-month effect exists at the Nairobi Stock Exchange. It allows us to examine whether the seasonal effects usually found in countries like the USA are also present in the Kenyan market. The study used secondary data in the form of daily observations of the stock prices from the NSE database covering the period from 1 st January, 2006 to 31 st December, 2009. A comparison of the average stock returns during the turn of the month (TOM) and rest of the month (ROM) shows that the average stock returns for the rest of the month was always higher than the returns for the turn of the month for three of the four years (2006- 2008). the year 2009 was exceptional as it showed the arithmetic returns for the TOM were more than the arithmetic returns for the ROM. Performing t-test for comparison of the arithmetic means across the years, it's shown that there is no significant differences in the means for all the four years (2006-2009), implying that there does not exist turn of the month effect in any year of the study. According to the results, therefore, its shown that the average stock returns for the rest of the month was always higher than the returns for the turn of the month and that the comparison of the arithmetic means across the years showed that there is no significant differences in the means for all the four years.