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Introducere în analiza anomaliilor calendaristice, Partea a doua
[An Introduction to the Analysis of the Calendar Anomalies, Part 2]

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  • Stefanescu, Răzvan
  • Dumitriu, Ramona

Abstract

This paper approaches some simple methods for the calendar anomalies identification. Taking the TOY Effect as an example, we show how the t tests or the OLS regressions could be used to detect a seasonal component of the financial assets’ returns.

Suggested Citation

  • Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Introducere în analiza anomaliilor calendaristice, Partea a doua [An Introduction to the Analysis of the Calendar Anomalies, Part 2]," MPRA Paper 97961, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:97961
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    References 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.

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    More about this item

    Keywords

    Financial markets; Calendar anomalies; Turn-of-the-year effect;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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