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

The Turn-of-the-Year Effect in the Romanian foreign exchange market

Răzvan Stefanescu and Ramona Dumitriu

MPRA Paper from University Library of Munich, Germany

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.

Keywords: calendar anomalies; Romanian foreign exchange market; Turn-of-the-Year effects (search for similar items in EconPapers)
JEL-codes: G02 G10 G14 G19 (search for similar items in EconPapers)
Date: 2020-03-30, Revised 2020-03-30
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:99365

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