Stefanescu, Razvan and Dumitriu, Ramona (2011): Turn - of - the - month effect on the Bucharest stock exchange. Published in: New challenges in economics and administration : proceedings of the 3rd international conference in economics and administration : Bucharest, 2011 / University of Bucharest (3. June 2011): pp. 199-204.
Download (76kB) | Preview
This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian companies and RAQ – C, which includes the stock prices of smaller firms. We find evidences of the turn – of – the – month effect only for the BET – C evolution.
|Item Type:||MPRA Paper|
|Original Title:||Turn - of - the - month effect on the Bucharest stock exchange|
|English Title:||Turn - of - the - month effect on the Bucharest stock exchange|
|Keywords:||Calendar anomalies, Turn – of – the - month effect, Romanian capital markets, Seasonality, Efficient Market Hypothesis|
|Subjects:||G - Financial Economics > G0 - General > G00 - General
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Razvan Stefanescu|
|Date Deposited:||09. Feb 2012 23:10|
|Last Modified:||16. Feb 2013 10:13|
Agrawal, A., Tandon, K. (1994) Anomalies or illusions?, Evidence from stock markets in eighteen countries, Journal of International Money and Finance, 13, 83–106.
Ariel, Robert A. (1987) A monthly effect in stock returns, Journal of Financial Economics 18, 161-174.
Boudreaux, D. (1995) The monthly effect in international stock markets: evidence and implications, Journal of Financial and Strategic Decisions, 8, 15–20.
Cadsby, Charles B., Mitchell Ratner (1992) Turn-of-month and pre-holiday effects on stock returns: Some international evidence, Journal of Banking and Finance 16, 497-509.
Compton, W. (2000) The Evolving Turn-Of-The-Month Effect: Evidence from Pacific Rim Countries, University of North Carolina – Wilmington, Working Papers.
Fama, E.F. (1970) Efficient capital markets: a review of theory and empirical work, Journal of Finance, No. 25, 383-41.
Hensel, Chris R., Sick, G. A. and Ziemba, William T. (1994) The turn-of-the-month effect in the futures markets, 1982-1992, Review of Futures Markets, 8, 827-856.
Jaffe, J., Westerfield, R. (1985a) Patterns in Japanese common stock returns: day of the week and turn of the year effects, Journal of Financial and Quantitative Analysis, 20, 261–272.
Keim, D. (1983) Size Related Anomalies and Stock Market Seasonality; Further Empirical Evidence, Journal of Financial Economics, 12: 12-32.
Kunkel R. A., Compton W. S., Beyer S. (2003) The turn-of-the-month effect still lives: the international evidence, International Review of Financial Analysis 137, 1–15.
Lakonishok, J., Smidt, S. (1988) Are Seasonal Anomalies Real? A Ninety Years Perspective, Review of Financial Studies, 1(4): 403-425.
Lee, I., Pettit, R., Swankowski, M. (1990) Daily return relationships among Asian stock markets, Journal of Business Finance and Accounting, 17, 265–284.
Ogden, Joseph P. (1990) Turn-of-month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects, Journal of Finance 45(4), 1259-1272.
Pettengill, G., Jordan, B. (1988) A comprehensive examination of volume effects and seasonality in daily security returns, Journal of Financial Research, 11, 57–70.
Reinganum, Marc R. (1983) The anomalous stock market behavior of small firms in January, Journal of Financial Economics, 12, 89-104.
Wong W.K., Agarwal A., Wong N.T. (Winter 2006) The Disappearing Calendar Anomalies in the Singapore Stock Market, The Lahore Journal of Economics 11: 2, pp. 123-139.
Ziemba, William, T. (1991) Japanese security market regularities: monthly, turn-of-the-month and year, holiday and Golden Week effects, Japan and the World Economy 3, 119-146.