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The SAD cycle for the Bucharest Stock Exchange

Stefanescu, Razvan and Dumitriu, Ramona (2011): The SAD cycle for the Bucharest Stock Exchange. Published in: Proceedings of the International Conference “Risk in Contemporary Economy” XIIth Edition, 2011, Galati, Romania, “Dunarea de Jos” University of Galati – Faculty of Economics and Business Administration (21 November 2011): pp. 372-377.

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The SAD effect is a calendar anomaly linked to the few length of the daylight during the autumn and the winter. In this paper we investigate the presence of this seasonal effect on the Romanian capital market. We find evidences of a significant SAD effect for an important index of the Bucharest Stock Exchange. We also identify some differences of this anomaly from before and during the crisis.

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