Monthly seasonality in the Bucharest stock exchange

Ramona Dumitriu, Razvan Stefanescu and Costel Nistor

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the existence of the monthly effects on the Romanian Stock Exchange. We employ the returns of the main indices and the trading volume and the trading values from the main components of the Bucharest Stock Exchange. We find different forms of monthly seasonality explainable by some characteristics of the stocks.

Keywords: Seasonality; Bucharest Stock Exchange; Efficient Market Hypothesis; Stock Market Anomalies (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2011-04-08, Revised 2011-04-08
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Citations: View citations in EconPapers (1)

Published in Proceedings of the 13th International Conference of Scientific Papers AFASES Brasov 26th - 28th May, 2011 (2011): pp. 47-52

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41603

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