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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Seasonality, Bucharest Stock Exchange, Efficient Market Hypothesis, Stock Market Anomalies
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G10 - General

References

Fama E.F. (1970), Efficient capital markets: a review of theory and empirical work, Journal of Finance, No: 25, 383-41;

Fama, Eugene (1998), Market Efficiency, Long-Term Returns and Behavioural Finance, Journal of Financial Economics, 49, pp. 283-306;

Ariel, Robert A. (March 1987), A Monthly Effect in Stock Returns, Journal of Financial Economics, Vol.18, 161-174;

Schwert G. W. (2002), Anomalies and Market Efficiency, Working Paper, The Bradley Policy Research Center, Financial Research and Policy, University of Rochester;

Lakonishok J., S. Smidt (1988), Are Seasonal Anomalies Real? A Ninety Years Perspective, Review of Financial Studies, 1(4): 403-425;

Branch, B. (1977), A Tax Loss Trading Rule, Journal of Business, 50 (2), 198-207;

Barry, C., Brown S. (1984), Differential Information and the Small Firm Effect, Journal of Financial Economics, 13, pp. 283-294;

Lazar, D., Priya, Julia, Jeyapaul, Joseph (2006), SENSEX Monthly Return: Is there Seasonality?, Indian Institute of Capital Markets 9th Capital Markets Conference Paper;

Nassir, A., Mohammad S. (1987), The January effect of stocks traded on the Kuala Lumpur Stock Exchange: An Empirical Analysis, Hong Kong Journal of Business Management, 5, 33-50;

Pandey, I.M. (2002), Is There Seasonality in the Sensex Monthly Returns? Working Paper, Indian Institute of Management, 1-19;

Maghayereh, A. (2003), Seasonality and January Effect Anomalies in an Emerging Capital Market, The Arab Bank Review, 5(2), 25-32;

Keim, D. (1983), Size Related Anomalies and Stock Market Seasonality; Further Empirical Evidence, Journal of Financial Economics, 12: 12-32;

Easterday, Kathryn E., Sen, Pradyot K., Stephan, Jens (January 2006), A Re-examination of the Declining January Effect for Firms Trading on NYSE, AMEX and NASDAQ Available at SSRN: http://ssrn.com/abstract=877009;

Reinganum, Marc R. (1983), The anomalous stock market behavior of small firms in January, Journal of Financial Economics, 12, 89-104.