January Effect and Market Conditions: a Case of Romania

Aurora Murgea ()
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Aurora Murgea: Department of Finance, Faculty of Economics and Business Administration West University from Timisoara

Ovidius University Annals, Economic Sciences Series, 2015, vol. XV, issue 2, 488-493

Abstract: One of the first steps in discovery is the awareness of anomaly. Very often nature violates the expectations that rule the normal science. This paper examines the anomalies that can arise on capital markets, with an emphasis on the January effect. Several hypotheses are proposed in order to explain the abnormal returns recorded by small firms in the first month of the year: the window-dressing hypothesis, tax loss selling hypothesis or the ‘not so rational’ behaviour of the investors. Using the BET index from 2000 to 2014 and a dummy variable as a proxy for January effect, it can be noticed that Romanian capital market seems to be prone to experience higher returns especially in the less volatile period, as the one before the crisis.

Keywords: capital markets; anomalies; January effect; efficiency (search for similar items in EconPapers)
JEL-codes: C2 G14 G17 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xv:y:2015:i:2:p:488-493

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