Economics at your fingertips  


Iulian Panait (), Carmen Marilena Uzlau () and Corina Ene
Additional contact information
Carmen Marilena Uzlau: Hyperion University, Faculty of Economic Sciences

Internal Auditing and Risk Management, 2013, vol. 29, issue 1, 28-41

Abstract: This study investigates the presence on Bucharest Stock Exchange of one of the most documented seasonal anomalies of financial assets’ returns: the day-of-the-week effect. We use daily 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 markets meltdown and the 2009-2012 recovery that followed it. We employed a GARCH-M model with dummy variables for both the mean and the variance equation, but the results obtained don’t offer clear enough and sufficient statistically significant arguments to confirm the presence of the above mentioned effects on all the six indices investigated.

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

Downloads: (external link) (application/pdf) ... CK-EXCHANGE~847.html (text/html)

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:

Access Statistics for this article

Internal Auditing and Risk Management is currently edited by Emilia Vasile

More articles in Internal Auditing and Risk Management from Athenaeum University of Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Cosmin Catalin Olteanu and Emilia Vasile (). This e-mail address is bad, please contact .

Page updated 2020-02-16
Handle: RePEc:ath:journl:v:29:y:2013:i:1:p:28-41