Agricultural commodity markets and the Turn of the month effect

The Turn of the month (ToM) effect is a calendar anomaly when the majority of returns of an asset are con-centrated into several days around the end of the old month and the start of the new one. Until now, the investigation of the ToM effect has mainly been focused on the stock markets. However, this paper investigates the presence of the ToM effect in eight key agricultural commodity markets (cocoa, coffee, corn, cotton, rice, soybean, sugar, wheat), using three different alternatives of the ToM window, during the 2001–2021 time period. The results show a statistically significant ToM effect in the rice, coffee, and sugar markets. Further results show that the ToM pattern changed during the COVID-19 pandemic, and that, in the case of commodities with a statistically significant ToM effect, the ToM effect can be efficiently used to beat the buy & hold investment strategy convincingly. © The authors.

Herd behaviour in an emerging market: an evidence of calendar and size effects

PurposeThis study aims to examine investors' herd behaviour for various calendar events and size-based stock portfolios in Pakistan. The authors consider three calendar effects, crisis (COVID-19 and financial crisis 2018–19), announcement of political news and popular calendar anomalies (month-of-the-year and day-of-the-week), and investigate the impact of stock size on calendar effect in terms of investors' herd behaviour.Design/methodology/approachThe study uses non-linear specification to capture herd behaviour using firm-level daily data for 496 stocks listed on Pakistan Stock Exchange over the period 2001–2020.FindingsThe results indicate herd formation during periods of COVID-19, financial crisis, political news announcements and January (month-of-the-year). The authors also observe significant herding for the biggest and smallest size stocks over complete period. However, the authors find more pronounced herding in big stocks during January as compared to the more noticeable herding in small stocks over complete period. The findings suggest that herding in small stocks is not the main cause of January herding and hint on the prevalence of significant institutional herding during January.Practical implicationsThe stock prices destabilize because of the mimicking behaviour during crisis periods, days of political announcements and month of January. Implementation of insider trading laws and transparent information environment can help in reducing these effects and increasing market efficiency.Originality/valueThe authors consider the recent COVID period in our analysis. In addition, we provide new evidence on the possible impact of stock size on calendar effect in terms of herd behaviour, which, to the best of the authors' knowledge, has not yet been documented in literature.

Global mutual fund market: the turn of the month effect and investment strategy

Turn of the month (TOM) is a widely recognized anomaly and studied majorly in the context with equity markets. However, the global mutual fund market has not been much exposed to empirical testing of the TOM anomaly and the implication thereof. This study has dual objectives of not only investigating if the TOM effect persists in the world of equity mutual funds but also proposing an investment strategy to exploit the TOM anomaly to mutual fund investors. The study examines 40 equity mutual funds across 6 different geographies and 2 multi-geographic segments. For the sample period of 15 years (2005-2020), crucially covering financial crisis as well as an outbreak of the Covid-19 pandemic this study confirms a statistically significant effect of TOM for 23 out of 40 funds. Based on findings, the paper proposes a staggered investment strategy to investors in mutual funds for entry and exit to exploit the TOM effect for return enhancement.

Herd behaviour in an emerging market: an evidence of calendar and size effects

Purpose: This study aims to examine investors’ herd behaviour for various calendar events and size-based stock portfolios in Pakistan. The authors consider three calendar effects, crisis (COVID-19 and financial crisis 2018–19), announcement of political news and popular calendar anomalies (month-of-the-year and day-of-the-week), and investigate the impact of stock size on calendar effect in terms of investors’ herd behaviour. Design/methodology/approach: The study uses non-linear specification to capture herd behaviour using firm-level daily data for 496 stocks listed on Pakistan Stock Exchange over the period 2001–2020. Findings: The results indicate herd formation during periods of COVID-19, financial crisis, political news announcements and January (month-of-the-year). The authors also observe significant herding for the biggest and smallest size stocks over complete period. However, the authors find more pronounced herding in big stocks during January as compared to the more noticeable herding in small stocks over complete period. The findings suggest that herding in small stocks is not the main cause of January herding and hint on the prevalence of significant institutional herding during January. Practical implications: The stock prices destabilize because of the mimicking behaviour during crisis periods, days of political announcements and month of January. Implementation of insider trading laws and transparent information environment can help in reducing these effects and increasing market efficiency. Originality/value: The authors consider the recent COVID period in our analysis. In addition, we provide new evidence on the possible impact of stock size on calendar effect in terms of herd behaviour, which, to the best of the authors’ knowledge, has not yet been documented in literature. © 2022, Emerald Publishing Limited.