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An Investigation of the Day-of-the-week Effect in Conditional Variance at the Bucharest Stock Exchange

Nicu Marcu (), Carmen Elena Dobrota () and Raluca ANTONEAC (calin) ()
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Nicu Marcu: University of Bucharest, Faculty of Administration and Business, Bucharest, Romania.
Carmen Elena Dobrota: Bucharest University of Economic Studies, Economics Doctoral School, Bucharest, Romania.
Raluca ANTONEAC (calin): Bucharest University of Economic Studies, Economics Doctoral School, Bucharest, Romania.

Journal for Economic Forecasting, 2017, issue 2, 124-134

Abstract: The Efficient Market Hypothesis (EMH) advances the idea that the prices of financial assets reflect all the existent information and that investors cannot obtain abnormal returns by exploiting past trading records, public or private information. Despite this fact, financial literature has heavily documented that stock returns may vary during the trading week which could be considered a challenge for the classical EMH specifications. This paper considers these oscillations that are associated to the day-of- the effect. In a GARCH-based framework, we test for the presence of this seasonal anomaly among a series of most liquid companies listed on the Bucharest Stock Exchange. Our results demonstrate the absence of the day-of-the-week anomaly for the Romanian stock market.

Keywords: day-of-the weak; efficient market hypothesis; calendar anomalies (search for similar items in EconPapers)
JEL-codes: G02 G14 G17 (search for similar items in EconPapers)
Date: 2017
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