Munich Personal RePEc Archive

Monthly seasonality in the Bucharest stock exchange

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2011): Monthly seasonality in the Bucharest stock exchange. Published in: Proceedings of the 13th International Conference of Scientific Papers AFASES Brasov 26th - 28th May, 2011 (3. May 2011): pp. 47-52.

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Abstract

This paper investigates the existence of the monthly effects on the Romanian Stock Exchange. We employ the returns of the main indices and the trading volume and the trading values from the main components of the Bucharest Stock Exchange. We find different forms of monthly seasonality explainable by some characteristics of the stocks.

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