The SAD cycle for the Bucharest Stock Exchange

Razvan Stefanescu and Ramona Dumitriu

MPRA Paper from University Library of Munich, Germany

Abstract: The SAD effect is a calendar anomaly linked to the few length of the daylight during the autumn and the winter. In this paper we investigate the presence of this seasonal effect on the Romanian capital market. We find evidences of a significant SAD effect for an important index of the Bucharest Stock Exchange. We also identify some differences of this anomaly from before and during the crisis.

Keywords: Behavioral finance; Calendar anomalies; Seasonal affective disorder; Romanian capital market (search for similar items in EconPapers)
JEL-codes: G14 G19 (search for similar items in EconPapers)
Date: 2011-09-09, Revised 2011-09-09
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Citations: View citations in EconPapers (5)

Published in Proceedings of the International Conference “Risk in Contemporary Economy” XIIth Edition, 2011, Galati, Romania, “Dunarea de Jos” University of Galati – Faculty of Economics and Business Administration (2011): pp. 372-377

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Related works:
Journal Article: The SAD Cycle for the Bucharest Stock Exchange (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41889

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