Turn-of-the-Month and Holiday Effects: Evidence from the Finance Sector of Malaysia’s Stock Market
This study investigates the presence of turn-of-the-month and holiday effects in the return series of 28 finance
stocks in Malaysia’s stock market and attempts to verify the weak-form efficient market hypothesis (EMH). The findings show
that three banking-related stocks are displaying anomalous patterns at turn of the month, and twenty finance stocks are
showing possible abnormal returns linked to the holiday effect. Investment strategies can be formulated to benefit from the
observed predictable patterns. The weak-form EMH is found to be invalid.
Index Terms - Calendar anomalies, Turn-of-the-month effect, Holiday effect, Weak-form EMH