The SAD cycle for the Bucharest Stock Exchange
AbstractThe SAD effect is a calendar anomaly linked to the few length of the daylight during the autumn and the winter. In this paper we investigate the presence of this seasonal effect on the Romanian capital market. We find evidences of a significant SAD effect for an important index of the Bucharest Stock Exchange. We also identify some differences of this anomaly from before and during the crisis.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41889.
Date of creation: 09 Sep 2011
Date of revision: 09 Sep 2011
Behavioral finance; Calendar anomalies; Seasonal affective disorder; Romanian capital market;
Other versions of this item:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G19 - Financial Economics - - General Financial Markets - - - Other
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