Analysis of within – month effects on the Bucharest stock exchange

Ramona Dumitriu, Razvan Stefanescu and Costel Nistor

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores the presence of within – month effects on the Romanian capital markets. In our analysis we employ the daily values of some important indexes from two main components of the Bucharest Stock Exchange: BET, where there are listed some of the biggest Romanian corporations, and RASDAQ, which includes smaller companies. We find some significant differences between the calendar anomalies from the two markets. We also discover that in the last years within – month effects experienced some changes that could be linked with the development of the Romanian financial markets, by the adhesion to the European Union and by the global crisis.

Keywords: Calendar patterns; Romanian capital market; turn of the month effect; third month effect; half of the month effect (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
Date: 2011-08-11, Revised 2012-02-09
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Published in Proceedings of The 17th International Conference "The Knowledge-Based Organization" Sibiu, November 2011 (2011): pp. 109-116

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36562

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