EconPapers    
Economics at your fingertips  
 

The month-of-the-year effect on Bucharest Stock Exchange

Iulian Panait ()

Hyperion Economic Journal, 2013, vol. 1, issue 1, 19-26

Abstract: This study investigates the presence of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly returns for five Romanian official exchange indices and for one MSCI Barra country index during May 2007-March 2013, thereby including both the 2007-2009 financial crisis and the recovery that followed during 2009-2013. Our results show that none of the coefficients of the two models are statistically significant, which lead us to conclude that we can not confirm the presence of the January effect or of any other month-of-the-year effect on the Romanian capital market.

Keywords: stock returns; volatility; seasonal anomalies; frontier markets; GARCH models (search for similar items in EconPapers)
JEL-codes: G01 G14 G15 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.hej.hyperion.ro/articles/1(1)_2013/HEJ%20nr1(1)_2013_Panait.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hyp:journl:v:1:y:2013:i:1:p:19-26

Access Statistics for this article

Hyperion Economic Journal is currently edited by Iulian Panait

More articles in Hyperion Economic Journal from Faculty of Economic Sciences, Hyperion University of Bucharest, Romania Hyperion University, Faculty of Economic Sciences, Calea Calarasilor no. 169, district 3, Bucharest, 030615, Romania. Contact information at EDIRC.
Series data maintained by Iulian Panait ().

 
Page updated 2017-07-21
Handle: RePEc:hyp:journl:v:1:y:2013:i:1:p:19-26