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Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange

Razvan Stefanescu and Ramona Dumitriu
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Razvan Stefanescu: Dunarea de Jos University of Galati, Romania
Ramona Dumitriu: Dunarea de Jos University of Galati, Romania

Risk in Contemporary Economy, 2018, 189-202

Abstract: Very often, the holiday effects are studied only for the first day before and for the first day after any public holiday. Beside these traditional forms of the holiday effects it was revealed an extended one, which refers to the abnormal stocks returns occurring in intervals, containing some days before and some days after public holidays. This paper approaches the persistence in time of the traditional and extended holiday effects on the Romanian capital market. We investigate these calendar effects by employing the daily values of four important indexes from the Bucharest Stock Exchange during three periods: one relative quiet, from September 1997 to December 2006, one turbulent, from January 2007 to December 2012 and another relative quiet period, from January 2013 to May 2018. The traditional holiday effects were present during the first two periods but they disappeared in the third one. Instead, we found that extended holiday effects were more persistent in time although they seemed sensitive to the capital market turbulences.

Date: 2018
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