Turn-of-the month effect for the European stock market

A central challenge to the Efficient Market Hypothesis (EMH) is the existence of stock market anomalies. The current study tries to examine turn of month effect on two European markets. This allows us to examine whether the seasonal patterns usually found in US data are also present in European data. According to the results, the average return for European stocks is higher for the last day of calendar months and the very first days of the following calendar months. The monthly effect is independent of other known calendar anomalies such as January effect documented by others, and also the results are consistent with the U S results.