Changes in the dow effects in the romanian foreign exchange market
Ramona Dumitriu and
Manager Journal, 2010, vol. 11, issue 1, 163-179
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 Romaniaâ€™s adhesion to the European Union and with the effects of the global crisis.
Keywords: Day-of-the-week effect; Foreign Exchange Rates; Romanian Financial Market; Global Crisis; Seasonality (search for similar items in EconPapers)
References: View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://manager.faa.ro/en/article/Changes-in-the-do ... ange-market~622.html (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:but:manage:v:11:y:2010:i:1:p:163-179
Access Statistics for this article
Manager Journal is currently edited by Paul Marinescu
More articles in Manager Journal from Faculty of Business and Administration, University of Bucharest Contact information at EDIRC.
Series data maintained by Cosmin Catalin Olteanu ().