Changes in the DOW effects in the Romanian foreign exchange market

Dumitriu, Ramona and Stefanescu, Razvan (2010): Changes in the DOW effects in the Romanian foreign exchange market. Published in: Manager Journal , Vol. 11/201, (11 November 2010): pp. 163-179.

Abstract

This paper explores the changes in the daily seasonality of the Romanian foreign market from January 2005 to February 2010. Our investigation employs data from the prices in the Romanian national currency, of the two main currencies used in the financial transactions: euro and US dollar. For the euro we find evidence of a Monday effect between January 2005 and June 2007, no DOW effect between July 2007 and September 2008, a Tuesday effect between October 2008 and April 2009 and a Thursday effect between May 2009 and February 2010. For the US dollar we identify only a Tuesday effect between October 2008 and April 2009. We relate these changes with the consequences of the Romania’s adhesion to the European Union and with the effects of the global crisis.

• Item Type: MPRA Paper
• Language: English
• Keywords: Day-of-the-week effect, Foreign Exchange Rates, Romanian Financial Market, Global Crisis, Seasonality
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G0 - General > G01 - Financial Crises

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