Turn - of - the - month effect on the Bucharest stock exchange

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.

Abstract

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
• Language: English
• 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

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