Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2011): Analysis of within – month effects on the Bucharest stock exchange. Published in: Proceedings of The 17th International Conference "The Knowledge-Based Organization" Sibiu, November 2011 (7. November 2011): pp. 109-116.
Download (122kB) | Preview
This paper explores the presence of within – month effects on the Romanian capital markets. In our analysis we employ the daily values of some important indexes from two main components of the Bucharest Stock Exchange: BET, where there are listed some of the biggest Romanian corporations, and RASDAQ, which includes smaller companies. We find some significant differences between the calendar anomalies from the two markets. We also discover that in the last years within – month effects experienced some changes that could be linked with the development of the Romanian financial markets, by the adhesion to the European Union and by the global crisis.
|Item Type:||MPRA Paper|
|Original Title:||Analysis of within – month effects on the Bucharest stock exchange|
|English Title:||Analysis of within – month effects on the Bucharest stock exchange|
|Keywords:||Calendar patterns, Romanian capital market, turn of the month effect, third month effect, half of the month effect|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Ramona Dumitriu|
|Date Deposited:||09. Feb 2012 23:09|
|Last Modified:||27. Aug 2015 02:24|
Lakonishok. J. and S. Smidt, Are Seasonal Anomalies Real? A Ninety Years Perspective, Review of Financial Studies, 1(4): pp. 403-425, 1988.
Kohers T. and J.B. Patel, A New Time of the Month Anomaly in Stock Index Returns, Applied Economics Letters, 6(2), pp. 115-120, 1999.
Ariel R. A., A Monthly Effect in Stock Returns, Journal of Financial Economics, 18, pp. 161-74, 1987.
Fatta Bahadur K.C., Navan K. J., The Nepalese Stock Market: Efficiency and Calendar Anomalies, Economic Review, Vol. 17, No. 17, 2005.
Lakonishok J., Schleifer A., Thaler R., Vishny R., Window Dressing by Pension Fund Managers, The American Economic Review, 82, pp. 227-232, 1991.
Peterson D.R., Stock return seasonalities and earnings information, Journal of Quantitative Analysis, 25, pp. 74-86, 1990.
Fama Eugene, Market Efficiency, Long-Term Returns and Behavioural Finance, Journal of Financial Economics, 49, pp. 283-306, 1998.
Dimson E. and P. Marsh, Murphy’s Law and Market Anomalies, Journal of Portfolio Management 25(2) pp. 53-69, 1999.
Steeley J.M., A Note on Information Seasonality and the Disappearance of the Weekend Effect in the UK Stock Market, Journal of Banking and Finance 25(10), pp. 1941-1956, 2001.
Blackman S.C., Holden K. and Thomas W.A., Long-term relationships between international share prices, Applied Financial Economics, 4, pp. 297-304, 1994.
Maghayereh A., Seasonality and January Effect Anomalies in an Emerging Capital Market, The Arab Bank Review, 5(2), pp. 25-32, 2003.
Keim D., Size Related Anomalies and Stock Market Seasonality; Further Empirical Evidence, Journal of Financial Economics, 12: pp. 12-32, 1983.