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.

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.

• Item Type: MPRA Paper
• English Title: The Turn-of-the-Year Effect in the Romanian foreign exchange market
• Language: Romanian
• Keywords: calendar anomalies, Romanian foreign exchange market, Turn-of-the-Year effects
• Subjects: G - Financial Economics > G0 - General > G02 - Behavioral Finance: Underlying Principles; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G19 - Other

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