Stock Market Seasonality in the Face of a Pandemic: Turn of the Month Effect Across Emerging and Developed Markets

Abstract

This research analyzes the calendar anomalies and the adaptive market hypothesis (AMH) concept to identify the turn of the month (TOM) effect in the stock markets. This study applies the effect of the COVID pandemic by using the data of approximately 10 years, i.e., January 2011 to March 2021, for the five countries, which are Pakistan, the United States of America, the United Kingdom, Brazil, and India. This study further evaluated the results, divided as complete data, before COVID, and during COVID, from the models OLS regression, GARCH, TGARCH, and EGARCH. The results indicate the existence of a calendar anomaly with reference to the turn-of-the-month effect, which depicts the significance in each market. The adaptability of the markets is because of the emotional sentiment of the investor, and this is the reason why, during the COVID-19 pandemic, it is evident that the stock markets under study turned out to be adaptive.