Changes of the Time Intervals Specific to Calendar Anomalies: the Case of TOQ Effect on Bucharest Stock Exchange

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

Risk in Contemporary Economy, 2020, 264-273

Abstract: The Turn-of-the-quarter (TOQ) Effect is a calendar anomaly consisting in abnormal returns occurring in a specific time interval, that starts in the mth last trading day of a quarter (BQ-m) and ends in the nth last trading day of a quarter (BQ+n). As many other anomalies, the TOQ Effect is not necessary persistent in time, so the interval [BQ-m; BQ+n] could experience some changes. This paper explores such changes for the time intervals specific to the Turn-of-the-quarter (TOQ) Effect using the daily values of three main indexes from Bucharest Stock Exchange: BET, BET-FI and BET-XT. We investigate the presence of this calendar anomaly in two periods: January 2007 – December 2013 and January 2014 – July 2020. For the first one we found abnormal returns within the time intervals [BQ-3; BQ+1], in the case of BET, [BQ-6; BQ+3], in the case of BET-FI and for a single trading day (BQ-2), in the case of BET-XT. For the second period, the results indicate abnormal returns within the time intervals [BQ-5; BQ+5], in the case of BET and BET-XT, and [BQ-5; BQ+6], in the case of BET-FI. These changes could be linked to the behaviors of investors who want to exploit or to avoid the abnormal returns, but also to the different circumstances associated to the two periods.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.rce.feaa.ugal.ro/images/stories/RCE2020/Stefanescu_Dumitriu.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: https://EconPapers.repec.org/RePEc:ddj:fserec:y:2020:p:264-273

Access Statistics for this article

More articles in Risk in Contemporary Economy from "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Gianina Mihai ().