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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.

Suggested Citation

  • Stefanescu, Razvan & Dumitriu, Ramona, 2011. "Turn - of - the - month effect on the Bucharest stock exchange," MPRA Paper 36566, University Library of Munich, Germany, revised 10 Feb 2012.
    • Handle: RePEc:pra:mprapa:36566
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    References listed on IDEAS

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    1. 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, vol. 11(2), pages 123-139, Jul-Dec.
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    5. 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, vol. 3(2), pages 119-146, September.
    6. Ogden, Joseph P, 1990. "Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects," Journal of Finance, American Finance Association, vol. 45(4), pages 1259-1272, September.
    7. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
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    9. 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, vol. 12(2), pages 207-221.
    10. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
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    12. repec:lje:journl:v:2:y:2006:i:2:p:123-139 is not listed on IDEAS
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    Cited by:

    1. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
    2. Razvan STEFANESCU & Ramona DUMITRIU, 2018. "Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 189-202.
    3. 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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    More about this item

    Keywords

    Calendar anomalies; Turn – of – the - month effect; Romanian capital markets; Seasonality; Efficient Market Hypothesis;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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