Munich Personal RePEc Archive

Investigation about the presence of the day – of - the - week effect in the Bucharest Stock Exchange

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel (2009): Investigation about the presence of the day – of - the - week effect in the Bucharest Stock Exchange. Published in: The Proceedings of the 15th International Conference “The Knowledge-Based Organization”, Sibiu 26-28 November 2009 , Vol. 3/2009, No. Economic Sciences (19. November 2009): pp. 164-169.

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Abstract

In the last decades the specialized literature revealed the seasonal effects on the financial markets evolution. Among them there is the day – of – the – week effect, which consists in significant differences from the average returns on some days of the week than others. This paper investigates the presence of the day – of – the – week effect in Bucharest Stock Exchange. Our analysis is based on the BET index and on the returns of all the stocks traded in BET during the first semester of 2009. The tendency of the Bucharest Stock Market to display systematic patterns of certain day of the week is studied by regressions with dummy variables for the working days of a week. The results indicate a significant Thursday effect for BET and for most of the ten stocks

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