Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets

Dan Gabriel Anghel, Elena Tilica and Victor Dragotă

Journal for Economic Forecasting, 2020, issue 2, 92-114

Abstract: Intraday patterns in returns are well documented on the developed stock markets, but are less studied for the developing ones. Using a new tick-by-tick data sample, we provide evidence that intraday trading patterns are present on the Romanian and Bulgarian postcommunist frontier markets. Similar to other capital markets, intraday returns follow a ωpattern, although the magnitude is different. Some intraday effects are robust, while others have disappeared over time. The detected patterns can be associated with liquidity risk and market price manipulation, but cannot be used by investors to obtain systematic abnormal earnings.

Keywords: intraday patterns; returns; investor behavior; frontier markets; efficient market hypothesis; Romania; Bulgaria (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2020:i:2:p:92-114

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