| dc.description.abstract | This study aims to explore the TOM (Turn of month) effect in Taiwan stock market. The research samples are the capitalization weighted stock index and 20 industry stock indexes of Taiwan Economic Journal (TEJ) from 2013 to 2022. This study test whether the average rate of return of the TOM period is significantly different from that of the ROM (Rest of month) period and further finds out which industry in Taiwan has TOM effect.
The result shows that the TOM period of weighted stock index can obtain relatively high returns compared with other trading days, but the difference is not significant. However, in the Electrical machinery industry, chemical industry, biotechnology medical industry, construction materials industry, shipping industry and tourism industry, they have TOM effect. This study further studies the TOY (Turn of year) effect and TOQ (Turn of quarter) effect. The evidence show that the weighted stock index has no significant TOY effect, and other industry stock has no significant TOY effect either. Moreover, the weighted stock index has no significant TOQ effect, but the food industry, textile fiber industry, rubber industry, information electronics industry and transportation industry have significant TOQ effect at 90% confidence level. The electrical machinery industry, chemical industry, biotechnology industry and medical industry have significant TOQ effect at 99% confidence level. | en_US |