Do monthly anomalies still exist as a profitable investment strategy: Evidence based on the Singapore stock market
The presence of various calendar anomalies in the stock markets is a well-documented fact. We focus our efforts through this study to reveal any semi-monthly anomaly or turn of the month anomaly hidden in the Singapore stock market, by analysing the FTSE Strait Times data during the period 1995 to 2015, using both the calendar day approach and trading day approach. The resulting analysis discloses some startling findings including the presence of a 'reverse' turn of the month anomaly. Significant semi-monthly anomaly is not present in the market, even though the mean percentage returns during the first and second half show high relative difference. Based on these findings, a profitable trading strategy evolves which is to purchase shares representative of the index during the turn of the month and to sell them during the first half of the month. This study widens the path for further research regarding these and similar anomalies in related markets around the world.(original abstract)
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