Table 1 Returns around the turn of the...

Table 1

Returns around the turn of the month

	−9	−8	−7	−6	−5	−4	−3	−2	−1	1	2	3	4	5	6	7	8	9
Panel A: Average returns by trading day of the month
VW	−0.097 (−0.80)	0.036 (0.33)	−0.356 (−3.36)	−0.218 (−1.79)	−0.194 (−1.54)	−0.057 (−0.51)	−0.280 (−2.82)	0.109 (0.94)	0.400 (3.95)	0.472 (4.09)	0.087 (0.93)	0.024 (0.21)	0.121 (1.08)	0.149 (1.42)	−0.049 (−0.45)	−0.080 (−0.75)	0.045 (0.37)	0.185 (1.72)
EW	−0.068 (−0.59)	0.099 (0.96)	−0.307 (−2.85)	−0.289 (−2.55)	−0.183 (−1.49)	−0.032 (−0.29)	−0.174 (−1.67)	0.174 (1.61)	0.374 (3.91)	0.527 (4.84)	0.255 (2.95)	0.151 (1.41)	0.204 (2.02)	0.189 (1.92)	0.076 (0.73)	0.029 (0.28)	0.189 (1.82)	0.237 (2.41)

	−9	−8	−7	−6	−5	−4	−3	−2	−1	1	2	3	4	5	6	7	8	9
Panel A: Average returns by trading day of the month
VW	−0.097 (−0.80)	0.036 (0.33)	−0.356 (−3.36)	−0.218 (−1.79)	−0.194 (−1.54)	−0.057 (−0.51)	−0.280 (−2.82)	0.109 (0.94)	0.400 (3.95)	0.472 (4.09)	0.087 (0.93)	0.024 (0.21)	0.121 (1.08)	0.149 (1.42)	−0.049 (−0.45)	−0.080 (−0.75)	0.045 (0.37)	0.185 (1.72)
EW	−0.068 (−0.59)	0.099 (0.96)	−0.307 (−2.85)	−0.289 (−2.55)	−0.183 (−1.49)	−0.032 (−0.29)	−0.174 (−1.67)	0.174 (1.61)	0.374 (3.91)	0.527 (4.84)	0.255 (2.95)	0.151 (1.41)	0.204 (2.02)	0.189 (1.92)	0.076 (0.73)	0.029 (0.28)	0.189 (1.82)	0.237 (2.41)

	TOM [–1, +3]	ROM [–1, +3]	Diff.	TOM [–1, +1]	ROM [–1, +1]	Diff.
Panel B: Returns at the TOM and ROM
VW	0.243^*** (3.46)	−0.049 (−1.35)	0.292^*** (3.69)	0.431^*** (5.25)	−0.037 (−1.03)	0.468^*** (5.22)
EW	0.331^*** (5.02)	0.006 (0.17)	0.325^*** (4.33)	0.455^*** (5.97)	0.028 (0.82)	0.427^*** (5.11)

	TOM [–1, +3]	ROM [–1, +3]	Diff.	TOM [–1, +1]	ROM [–1, +1]	Diff.
Panel B: Returns at the TOM and ROM
VW	0.243^*** (3.46)	−0.049 (−1.35)	0.292^*** (3.69)	0.431^*** (5.25)	−0.037 (−1.03)	0.468^*** (5.22)
EW	0.331^*** (5.02)	0.006 (0.17)	0.325^*** (4.33)	0.455^*** (5.97)	0.028 (0.82)	0.427^*** (5.11)

Note(s): This table reports returns around the turn of the month. Panel A presents the value-weighted (VW) and equal-weighted (EW) average returns on the KOSDAQ market by trading day of the month. Panel B presents average daily returns at the TOM and ROM, and their differences. t-statistics are in parentheses. In Panel A, numbers in italic denote statistical significance at the 5% level. In Panel B, ^*, ^** and ^*** indicate significance at the 10%, 5% and 1% levels, respectively. The sample period is from 2000 to 2020

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