Holiday effect on the Romanian stock market

Ramona Dumitriu, Razvan Stefanescu and Costel Nistor

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the holiday effect presence of on the Romanian stock market. We perform regressions with dummy variables and daily values of some from the main indexes of the Bucharest Stock Exchange. The results indicate a post-holiday effect for all the indexes and a pre-holiday effect only for some of them.

Keywords: Calendar Anomalies; Romanian Stock Market; Holiday Effect (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2011-09-08, Revised 2011-09-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41635

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