Turn - of - the - month effect on the Bucharest stock exchange
AbstractThis 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36566.
Date of creation: 06 Mar 2011
Date of revision: 10 Feb 2012
Calendar anomalies; Turn – of – the - month effect; Romanian capital markets; Seasonality; Efficient Market Hypothesis;
Find related papers by JEL classification:
- G00 - Financial Economics - - General - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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