What Is the Turn-of-the-Month Effect?

The turn-of-the-month effect is a historical market tendency associated with the final trading days of one month and the first trading days of the next.

It is often discussed as a short calendar window, but the phrase is too vague to test until the rules are defined.

Why might it appear?

Payroll contributions, pension flows, dividend reinvestment, fund allocations, and recurring institutional activity are commonly suggested as possible influences. These explanations can make a pattern plausible, but they do not make it permanent.

What dates count as turn of the month?

There is no single universal definition. One study may use the final trading day plus the first three days of the next month; another may use a different range. Holidays and market closures also matter.

That is why exact dates must be visible before interpreting any result.

How should you use the effect?

Treat it as a research question. Define a window, inspect the historical sample, and look at the full distribution of outcomes. Do not assume that a broad market tendency applies to every stock or will repeat in the next month.

Read What Is Stock Seasonality? for the basic methodology and How Accurate Is Seasonal Backtesting? for sample-size context. You can test a specific stock in Ticker Analysis.

Historical outcomes do not predict future returns and are not investment advice.