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The month-of-the-year effect on Bucharest Stock Exchange

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  • Iulian Panait

    ()
    (Hyperion University of Bucharest)

Abstract

This study investigates the presence of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly 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 crisis and the recovery that followed during 2009-2013. Our results show that none of the coefficients of the two models are statistically significant, which lead us to conclude that we can not confirm the presence of the January effect or of any other month-of-the-year effect on the Romanian capital market.

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File URL: http://www.hej.hyperion.ro/articles/1(1)_2013/HEJ%20nr1(1)_2013_Panait.pdf
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Bibliographic Info

Article provided by Faculty of Economic Sciences, Hyperion University of Bucharest, Romania in its journal Hyperion Economic Journal.

Volume (Year): 1 (2013)
Issue (Month): 1 (March)
Pages: 19-26

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Handle: RePEc:hyp:journl:v:1:y:2013:i:1:p:19-26

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Postal: Hyperion University, Faculty of Economic Sciences, Calea Calarasilor no. 169, district 3, Bucharest, 030615, Romania
Phone: +4021-321.6446
Fax: +4021-321.62.96
Email:
Web page: http://www.econ.hyperion.ro/
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Related research

Keywords: stock returns; volatility; seasonal anomalies; frontier markets; GARCH models;

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