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 concentrated 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, thi...
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| Format: | Article |
| Language: | English |
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Czech Academy of Agricultural Sciences
2023-03-01
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| Series: | Agricultural Economics (AGRICECON) |
| Subjects: | |
| Online Access: | https://agricecon.agriculturejournals.cz/artkey/age-202303-0001_agricultural-commodity-markets-and-the-turn-of-the-month-effect.php |
| _version_ | 1827976488016674816 |
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| author | Peter Árendáš Jana Kotlebová |
| author_facet | Peter Árendáš Jana Kotlebová |
| author_sort | Peter Árendáš |
| collection | DOAJ |
| description | The Turn of the month (ToM) effect is a calendar anomaly when the majority of returns of an asset are concentrated 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. |
| first_indexed | 2024-04-09T20:36:15Z |
| format | Article |
| id | doaj.art-ee81bb3b33e94924a8255e5c116bd05d |
| institution | Directory Open Access Journal |
| issn | 0139-570X 1805-9295 |
| language | English |
| last_indexed | 2024-04-09T20:36:15Z |
| publishDate | 2023-03-01 |
| publisher | Czech Academy of Agricultural Sciences |
| record_format | Article |
| series | Agricultural Economics (AGRICECON) |
| spelling | doaj.art-ee81bb3b33e94924a8255e5c116bd05d2023-03-30T09:09:18ZengCzech Academy of Agricultural SciencesAgricultural Economics (AGRICECON)0139-570X1805-92952023-03-0169310110810.17221/17/2023-AGRICECONage-202303-0001Agricultural commodity markets and the Turn of the month effectPeter Árendáš0Jana Kotlebová1Department of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, Bratislava, SlovakiaDepartment of Banking and International Finance, Faculty of National Economy, University of Economics in Bratislava, Bratislava, SlovakiaThe Turn of the month (ToM) effect is a calendar anomaly when the majority of returns of an asset are concentrated 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.https://agricecon.agriculturejournals.cz/artkey/age-202303-0001_agricultural-commodity-markets-and-the-turn-of-the-month-effect.phpabnormal returncalendar anomalyinvestment strategymarket efficiency |
| spellingShingle | Peter Árendáš Jana Kotlebová Agricultural commodity markets and the Turn of the month effect Agricultural Economics (AGRICECON) abnormal return calendar anomaly investment strategy market efficiency |
| title | Agricultural commodity markets and the Turn of the month effect |
| title_full | Agricultural commodity markets and the Turn of the month effect |
| title_fullStr | Agricultural commodity markets and the Turn of the month effect |
| title_full_unstemmed | Agricultural commodity markets and the Turn of the month effect |
| title_short | Agricultural commodity markets and the Turn of the month effect |
| title_sort | agricultural commodity markets and the turn of the month effect |
| topic | abnormal return calendar anomaly investment strategy market efficiency |
| url | https://agricecon.agriculturejournals.cz/artkey/age-202303-0001_agricultural-commodity-markets-and-the-turn-of-the-month-effect.php |
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