The trading month anomaly in the Financial Times Industrial Ordinary Shares Index: 1935–1994

Abstract

In this paper we employ a large sample of daily returns from the Financial Times Industrial Ordinary Shares Index to investigate the existence of the ‘trading month’ effect or the ‘turn-of-the-month’ effect. We tentatively conclude that a trading month effect is present, but that this effect exists for a much shorter period than has been documented by previous studies both for the US and the UK. Finally, we also document evidence which lends support to the information release hypothesis of French (1980).