Turn-of-the-month effects in European stock markets before and after the financial crisis – An evolutionary finance perspective

The wealth of owners of stock corporations is exposed to various phenomena affecting stock market prices. Of these calendar anomalies, we examine the turn-of-the-month (TOM) effect. Previous literature reveals only mixed results with regard to (changes of) the TOM pattern. Therefore, this paper aims to provide further insights by a comparison of crisis and non-crisis periods, applying an evolutionary finance approach, which is based on computational agent-based modelling. We analyse stock price developments in six European stock markets for the period 2000-2014 with a special focus on the financial crisis. For this purpose, we apply parametric and nonparametric event study techniques and find explanations of this effect, like volatility, trade volume and the business cycle. After testing for external factors, the study takes an alternative perspective based on the evolutionary finance approach, which is based on the biological principles of selection, mutation and dependence and shows the effects of shifted investment capital induced by revised strategies of investors who enter and exit corporate ownership by buying and selling at the stock market.