IDEAS home Printed from https://ideas.repec.org/a/ath/journl/v29y2013i1p28-41.html
   My bibliography  Save this article

The Day-Of-The-Week Effect On Bucharest Stock Exchange

Author

Listed:
  • Iulian PANAIT

    (Hyperion University, Faculty of Economic Sciences)

  • Carmen Marilena UZLAU

    (Hyperion University, Faculty of Economic Sciences)

  • Corina Maria ENE

    (Hyperion University, Faculty of Economic Sciences)

Abstract

This study investigates the presence on Bucharest Stock Exchange of one of the most documented seasonal anomalies of financial assets’ returns: the day-of-the-week effect. We use daily returns for five Romanian official exchange indices and for one MSCI Barra country index during May 2007- March 2013, thereby including both the 2007-2009 financial markets meltdown and the 2009-2012 recovery that followed it. We employed a GARCH-M model with dummy variables for both the mean and the variance equation, but the results obtained don’t offer clear enough and sufficient statistically significant arguments to confirm the presence of the above mentioned effects on all the six indices investigated.

Suggested Citation

  • Iulian PANAIT & Carmen Marilena UZLAU & Corina Maria ENE, 2013. "The Day-Of-The-Week Effect On Bucharest Stock Exchange," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 29(1), pages 28-41, March.
  • Handle: RePEc:ath:journl:v:29:y:2013:i:1:p:28-41
    as

    Download full text from publisher

    File URL: http://aimr.univath.ro/download/847_Nr_1(29)_2013_28-41.pdf
    Download Restriction: no

    File URL: http://aimr.univath.ro/en/article/THE-DAY-OF-THE-WEEK-EFFECT-ON-BUCHAREST-STOCK-EXCHANGE~847.html
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Goran Karanovic & Bisera Karanovic, 2018. "The Day-of-the-Week Effect: Evidence from Selected Balkan Markets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(1), pages 1-11, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ath:journl:v:29:y:2013:i:1:p:28-41. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Cosmin Catalin Olteanu and Emilia Vasile (email available below). General contact details of provider: https://edirc.repec.org/data/feathro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.