Analysis of within – month effects on the Bucharest stock exchange
AbstractThis paper explores the presence of within – month effects on the Romanian capital markets. In our analysis we employ the daily values of some important indexes from two main components of the Bucharest Stock Exchange: BET, where there are listed some of the biggest Romanian corporations, and RASDAQ, which includes smaller companies. We find some significant differences between the calendar anomalies from the two markets. We also discover that in the last years within – month effects experienced some changes that could be linked with the development of the Romanian financial markets, by the adhesion to the European Union and by the global crisis.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36562.
Date of creation: 11 Aug 2011
Date of revision: 09 Feb 2012
Calendar patterns; Romanian capital market; turn of the month effect; third month effect; half of the month effect;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G01 - Financial Economics - - General - - - Financial Crises
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-20 (All new papers)
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