Turn - of - the - month effect on the Bucharest stock exchange

Razvan Stefanescu and Ramona Dumitriu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian companies and RAQ – C, which includes the stock prices of smaller firms. We find evidences of the turn – of – the – month effect only for the BET – C evolution.

Keywords: Calendar anomalies; Turn – of – the - month effect; Romanian capital markets; Seasonality; Efficient Market Hypothesis (search for similar items in EconPapers)
JEL-codes: G00 G10 (search for similar items in EconPapers)
Date: 2011-03-06, Revised 2012-02-10
New Economics Papers: this item is included in nep-tra
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Citations: View citations in EconPapers (3)

Published in New challenges in economics and administration : proceedings of the 3rd international conference in economics and administration : Bucharest, 2011 / University of Bucharest (2011): pp. 199-204

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