Prolonged holiday effects on Romanian capital market before and after the adhesion to EU

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel (2012): Prolonged holiday effects on Romanian capital market before and after the adhesion to EU. Published in: Vanguard Scientific Instruments in Management No. 1(6)/2013 (2013): pp. 125-134.

Abstract

The adhesion to the European Union represented a turning point for the Romanian capital market. Before the adhesion Bucharest Stock Exchange experienced a relatively quiet period which lasted for many years. Instead, after Romania had became member of the European Union the capital market experienced a turbulent period. After the months of optimism induced by the adhesion, Bucharest Stock Exchange was affected by the crisis from the international financial markets and the share prices dropped dramatically. In these circumstances investors’ behaviors changed affecting the seasonality of shares prices. In this paper we investigate the changes occurred for three types of seasonality which are included in the category of prolonged holiday calendar anomalies: Halloween Effect, Gone Fishin’ Effect and School out Effect. We employ daily values of five indexes from Bucharest Stock Exchange. We find that all of them were presented on the Bucharest Stock Exchange before the adhesion, but for some indexes the results indicate reversed forms of prolonged holiday effects. After the adhesion, the Gone Fishin’ Effect and the School out Effect disappeared while the Halloween Effect decreased in intensity. We conclude that turbulent times are not favorable for these calendar anomalies.

• Item Type: MPRA Paper
• Language: English
• Keywords: Halloween Effects, Gone Fishin’ Effects, School - Out Effects, Romanian Capital Market
• Subjects: G - Financial Economics > G0 - General > G02 - Behavioral Finance: Underlying Principles; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G19 - Other

References

Abadir, K.M. and L. Spierdijk (2005), “Liquidity Constraints and the Demand for Assets: An Application to the Festivity Effect”, SSRN Working Paper Series. Available at SSRN: http://ssrn.com/abstract=829484 or http://dx.doi.org/10.2139/ssrn.829484

Bouman Sven and Ben Jacobsen (2002), The Halloween indicator, “sell in May and go away”: Another puzzle, American Economic Review 92(5), pp. 1618-1635

Brockman, P. and D. Michayluk (1998), “The Persistent Holiday Effect: Additional Evidence”, Applied Economics Letters, 5. pp. 205-209

Coakley Jerry, Kuo Jing - Ming, Wood Andrew (2007), “The School’s Out Effect in East-Asian Stock Markets”, EFMAEFM, Vienna Papers/0615

Dimson E., Marsh P. (1999), “Murphy‘s law and market anomalies”, Journal of Portfolio Management, 25, pp. 53-69

Dumitriu, Ramona, Stefanescu, Razvan and Nistor, Costel (2012), “The Halloween effect during quiet and turbulent times”, Proceedings of the 18th International Conference "The Knowledge-Based Organization", Sibiu, Vol. 2

Elyasiani, E, P Perera, T Puri (1996), “Market Efficiency and Calendar Anomalies in Emerging Capital Markets: Evidence from the Colombo Stock Exchange”, Journal of International Financial Markets, Institutions and Money, 6 (4), pp. 59-77

Fama E.F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol. 25, pp. 383-417

Harrison, J.M., Kreps, D.M. (1978), “Speculative investor behavior in a stock market with heterogeneous expectations”, Quarterly Journal of Economics 93, pp. 323–336

Hirshleifer D., Shumway T. (2003), “Good day sunshine: Stock returns and the weather”, The Journal of Finance 58 (3), pp. 1009-1032.

Holden Ken, Thompson John, Ruangrit Yuphin (2005), “The Asian crisis and calendar effects on stock returns in Thailand”, European Journal of Operational Research, Elsevier, vol. 163(1), pp. 242-252

Hong, Harrison & Yu, Jialin (2009), "Gone fishin': Seasonality in trading activity and asset prices", Journal of Financial Markets, Elsevier, vol. 12(4), pp. 672-702, November

Jacobsen Ben & Visaltanachoti Nuttawat (2006), “The Halloween Effect in US Sectors”, The Financial Review, Forthcoming May 8, Available at SSRN: http://ssrn.com/abstract=901088

Keim, Donald (1983), “Size related anomalies and the stock return seasonality: Further empirical evidence”, Journal of Financial Economics 28, pp. 67-83

Lakonishok, J. and S. Smidt (1988), “Are Seasonal Anomalies Real? A Ninety-year Perspective”, Review of Financial Studies, 1, pp. 403－425

Levis, M. (1985), “Are small firms big performers?”, Investment analyst 76, pp. 21-27

Maberly Edwin D. and Pierce Raylene M. (2004), Stock Market Efficiency Withstands another Challenge: Solving the “Sell in May/Buy after Halloween” Puzzle, Econ Journal Watch, Volume 1, Number 1, pp. 29-46, April

Maberly Edwin D. and Pierce Raylene M. (2008), “The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly Asia-Pacific Financial Markets”, SSRN Working Paper Series, Available at SSRN: http://ssrn.com/abstract=589741

Marquering W., Nisser J., Valla T. (2006), “Disappearing anomalies: A dynamic analysis of the persistence of anomalies”, Applied Financial Economics, 16, pp. 291-302

O'Higgins, M. and J. Downs (1990), “Beating the Dow, A High-Return-Low-Risk method investing in Industrial Stocks with as little as $5000”, Harper Collins, New York

Pearce, Douglas K. (1996), “The robustness of calendar anomalies in daily stock returns”, Journal of Economics and Finance, Volume 20, Number 3, pp. 69-80

Pettengill, G. (1989), “Holiday Closings and Security Returns”, Journal of Financial Research, 12 (1): pp. 57-67

Sakakibara Shigeki, Yamasaki Takashi, Okada Katsuhiko (2011), The Calendar Structure of the Japanese Stock Market: “Sell in May Effect” versus “Dekansho - bushi Effect”, Kobe University, Discussion Paper Series 2011-8

Siriopoulos Costas and Giannopoulos Panagiotis (2006), “Market Efficiency in the Greek Stock Exchange: The Halloween Effect”, «SPOUDAI», Vol. 56, No 2, University of Piraeus, pp. 75-88

Wilson, W.J. and C.P. Jones (1993), “Comparison of Seasonal Anomalies across Major Equity Markets: A Note”, The Financial Review, 28 (1), pp. 107-115

Yen and Shyy (1993), “Chinese New Year Effect in Asian Stock markets”, Taiwan National University Management Journal, 4 (1), pp. 417-436

Ziemba, W. T. (1991), “Japanese Security Market Regularities: Monthly, Turn of the Month and Year, Holiday and Golden Week Effects”, Japan and the World Economy, 3 (2), pp. 119-146