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The SAD Cycle for the Bucharest Stock Exchange

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  • Razvan STEFANESCU

    ()
    (Dunarea de Jos University of Galati, Romania)

  • Ramona DUMITRIU

    ()
    (Dunarea de Jos University of Galati, Romania)

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.

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File URL: http://www.rce.feaa.ugal.ro/images/stories/RCE2011/finance-banking-account/RStefanescu_RDumitriu.pdf
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Bibliographic Info

Article provided by "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration in its journal Risk in the Contemporary Economy, Proceedings Conference.

Volume (Year): (2011)
Issue (Month): ()
Pages: 372-377

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Handle: RePEc:ddj:fserec:y:2011:p:372-377

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Related research

Keywords: Behavioral finance; Calendar anomalies; Seasonal affective disorder; Romanian capital market;

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  1. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
  2. Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, vol. 83(5), pages 1337-45, December.
  3. David Hirshleifer & TYLER G. SHUMWAY, 2004. "Good Day Sunshine: Stock Returns and the Weather," Finance 0412004, EconWPA.
  4. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
  5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  6. Cao, Melanie & Wei, Jason, 2005. "Stock market returns: A note on temperature anomaly," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1559-1573, June.
  7. Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 187-201, June.
  8. Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
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