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- aveshenpillay
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Turn of the Month Effect in Equity Indices
Good DayI am looking at turn of the month effects in equity markets and the majority of research uses the S&P500 market. My question is whether there are other markets that exhibit similar effects, be it either DM or EM?In addition, what are the popular strategies that one would trade - delta1, options etc? Is there any reason why a strategy may be preferred in one market over another?Explanation of turn of month effects hereThanks!Aveshen
Last edited by aveshenpillay on April 12th, 2016, 10:00 pm, edited 1 time in total.
Turn of the Month Effect in Equity Indices
One survey:http://papers.ssrn.com/sol3/papers.cfm? ... 1572361The link you cited used data ending 10 years ago, and the explanation is quite suspect, imho.What's the story for the last 10 years in isolation? I have an idea about it, but I'll wait to see those 10 year results before posting it. quid pro quo, Clarice, said Dr. Lecter 
Last edited by Alan on April 13th, 2016, 10:00 pm, edited 1 time in total.