Munich Personal RePEc Archive

Efectul Turn-of-the-Year pe piaţa valutară din România

Stefanescu, Răzvan and Dumitriu, Ramona (2020): Efectul Turn-of-the-Year pe piaţa valutară din România.

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Abstract

Some calendar anomalies that were detected in the stock markets could be also found in the foreign exchange markets. This paper approaches the presence of Turn-of-the-Year Effect in the logarithmic returns of Romanian leu – US dollar exchange rate daily values for a period that starts in July 2005 and it ends in March 2020. The results suggest that at the beginning and the end of a year Romanian national currency tends to depreciate consistently against US dollar.

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