The Almanac has already covered the market behaviour on the first and last trading days of the month; this study widens the analysis to look at the behaviour of the market on the 10 days around the turn of the month (TOM).
The days studied are the 5 last trading days of the month, from ToM(-5) to ToM(-1) (the latter being the last trading day of the month), and the first 5 trading days of the following month, from ToM(+1) to ToM(+5). The index used is the FTSE All Share.
The charts below analyse the 532 TOMs since 1970. The first chart shows the average daily return for the index on the 10 respective days. The second chart shows the proportion of positive returns on those days.
For example, on ToM(-5) the market has on average risen 49.6% of the time with an average return of -0.03%.
Does this behaviour persist in more recent years?
Broadly, the behaviour has been similar for the last few years as that from 1970. The main observation is that the strength of the first trading day of the month, ToM(+1), has become ever more pronounced. On average the market has risen 66% of all ToM(+1) with an average change of 0.31% (which is ten times the average change on all trading days).
Reference – papers on Turn of the Month
[Papers listed in reverse date order]
- The Turn-Of-The-Month Effect In The S&P 500 (2001-2011) 
- A note on the turn of the month and year effects in international stock returns 
- A Survey of Day of the Month Effect in World Stock Markets 
- Calendar Anomalies in Stock Index Futures 
- An Anatomy of Calendar Effects 
- Stock Market Calendar Anomalies and Macroeconomic News Announcements 
- Turn-of-the-Month Anomaly in Stock Returns: Revisited 
- Disappearing anomalies: a dynamic analysis of the persistence of anomalies 
- The Monthly Effect in Stock Returns and Conditional Heteroscedasticity 
- The turn-of-the-month effect still lives: the international evidence 
- Closing the Question on the Continuation of Turn-of-the-Month Effects: Evidence from the S&P 500 Index Futures Contract 
- A tax-free exploitation of the turn-of-the-month effect: C.R.E.F. 
- Expectations of weekend and turn-of-the-month mean return shifts implicit in index call option 
- Anomalies or illusions? Evidence from stock markets in eighteen countries 
- Turn-of-the-month and pre-holiday effects on stock returns: some international evidence 
- Japanese security market regularities: monthly, turn of the month and year, holiday and Golden Week effects 
- Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects 
- Calendar Anomalies: Abnormal Returns at Calendar Turning Points 
- Are seasonal anomalies real? a ninety-year perspective 
- Anomalies – Seasonal anomalies in security prices II:Weekend, Holiday, Turn of the Month, and Intraday effects