TURN OF THE MONTH EFFECT: EVIDENCE FROM THE NAIROBI SECURITIES EXCHANGE

Citation:
"TURN OF THE MONTH EFFECT: EVIDENCE FROM THE NAIROBI SECURITIES EXCHANGE." African Management Review 2013. 2013.

Abstract:

This study sought to investigate if Turn of the Month effect exists at the Nairobi Securities Exchange. In carrying out the study, the days of the month were divided into two, the Turn of the Month (TOM) which included the last trading day of the month and the first three trading days of the following month. The other trading days of the month were categorized as Rest of the Month (ROM). The 20 share index was used as the sampling frame and the daily indices were used to compute the daily returns. Secondary data was obtained from the Nairobi Securities Exchange (NSE) data base. The TOM coefficient was not significant to confirm TOM effect. It is therefore concluded that there is no TOM effect at the Nairobi Securities Exchange. It is equally recommended that the findings of this study should be used cautiously by the market regulator, NSE, stock brokers, investors and listed companies. The reason being, they could have been influenced by the size of the index used to compute the returns. That no TOM effect was found at NSE is not sufficient to conclude that the market is efficient.

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