Month-of-the-year effects on Romanian capital market before and after the adhesion to European Union
Razvan Stefanescu and
Ramona Dumitriu
MPRA Paper from University Library of Munich, Germany
Abstract:
Monthly seasonality in the stock prices returns is among the best known calendar anomalies that affect the capital markets. The knowledge about such calendar patterns could be exploited in building successful investment strategies. However, it was revealed that not all the calendar anomalies were persistent in time. Sometimes, the passage from relative quiet to more turbulent periods caused significant changes in a financial market seasonality. In this paper we investigate the presence of Month-of-the-year effects on the Bucharest Stock Exchange during two periods of time. The first period, from 2000 to 2006, corresponds to the last stages of Romania’s transition to a capitalist system and could be considered as relative quiet for the capital market. The second period, from 2007 to 2012, was marked by sharp changes. The consequences of adhesion to the European Union and the global crisis induced turbulences on the Romanian financial markets. In our analysis we employ daily values of one from the main indexes of the Bucharest Stock Exchange. We use a GARCH model to reveal the monthly seasonality not only on indexes returns but also on the capital market volatility. The results indicate significant changes in the Month-of-the-year effects from the quiet to the turbulent period.
Keywords: Calendar Anomalies; Romanian Capital Market; GARCH (search for similar items in EconPapers)
JEL-codes: G02 G10 G14 G19 (search for similar items in EconPapers)
Date: 2013-03-16, Revised 2013-04-04
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/53069/1/MPRA_paper_53069.pdf original version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:53069
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().