Holiday effect on the Romanian stock market

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2011): Holiday effect on the Romanian stock market. Published in: Vanguard Scientific Instruments in Management 2011 , Vol. 1(4)/2, (19 November 2011): pp. 35-40.

Abstract

This paper examines the holiday effect presence of on the Romanian stock market. We perform regressions with dummy variables and daily values of some from the main indexes of the Bucharest Stock Exchange. The results indicate a post-holiday effect for all the indexes and a pre-holiday effect only for some of them.

• Item Type: MPRA Paper
• Language: English
• Keywords: Calendar Anomalies, Romanian Stock Market, Holiday Effect
• 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

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