The SAD Cycle for the Bucharest Stock Exchange
AbstractThe 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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Bibliographic InfoArticle 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): ()
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Behavioral finance; Calendar anomalies; Seasonal affective disorder; Romanian capital market;
Other versions of this item:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G19 - Financial Economics - - General Financial Markets - - - Other
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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