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Turn - of - the - month effect on the Bucharest stock exchange

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  • Stefanescu, Razvan
  • Dumitriu, Ramona

Abstract

This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian companies and RAQ – C, which includes the stock prices of smaller firms. We find evidences of the turn – of – the – month effect only for the BET – C evolution.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 36566.

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Date of creation: 06 Mar 2011
Date of revision: 10 Feb 2012
Handle: RePEc:pra:mprapa:36566

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Keywords: Calendar anomalies; Turn – of – the - month effect; Romanian capital markets; Seasonality; Efficient Market Hypothesis;

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  1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  2. Jaffe, Jeffrey & Westerfield, Randolph, 1985. "Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 20(02), pages 261-272, June.
  3. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(1), pages 83-106, February.
  4. Ziemba, William T., 1991. "Japanese security market regularities : Monthly, turn-of-the-month and year, holiday and golden week effects," Japan and the World Economy, Elsevier, Elsevier, vol. 3(2), pages 119-146, September.
  5. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 16(3), pages 497-509, June.
  6. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 161-174, March.
  7. Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong, 2006. "The Disappearing Calendar Anomalies in the Singapore Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, Department of Economics, The Lahore School of Economics, vol. 11(2), pages 123-139, Jul-Dec.
  8. Kunkel, Robert A. & Compton, William S. & Beyer, Scott, 2003. "The turn-of-the-month effect still lives: the international evidence," International Review of Financial Analysis, Elsevier, Elsevier, vol. 12(2), pages 207-221.
  9. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(1), pages 13-32, June.
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Cited by:
  1. Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.

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