A calendar effect that is associated with calendar turning points. This implies that markets perform best at the start and end of the month. Empirical studies (e.g., Keim, 1989) showed that over a period of time, a substantial amount of returns comes from the last trading day of the month and the first few days of the following month. For the rest of the month, the ups and downs almost cancel out.

This phenomenon is also known as turn-of-the-calendar effect.