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The Behavior of Stock Prices during Lent and Advent

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  • Ramona DUMITRIU

    (Dunarea de Jos University of Galati, Romania)

  • Razvan STEFANESCU

    (Dunarea de Jos University of Galati, Romania)

Abstract

The religious practices generate some important calendar effects on the stock markets evolutions. This paper explores the impact on stock markets of two periods from the Catholic Church Calendar, Advent and Lent, for the period January 2009 – May 2017. We employ as data the closing daily values of stock exchanges indexes from five countries where the main religion is the Roman Catholicism: Argentina, Brazil, Chile, Hungary and Mexico. The sample of data used in the investigation is divided in two sub – samples: the first, from January 2009 to December 2012, covers a period when international stock market recovered after the 2007 – 2008 crisis, while the second sub – sample, from January 2013 to May 2017, corresponds, at a global scale, to a relative normal period. We employ GARCH models to reveal the impact of the Advent and Lent on the prices returns and volatility. For the first sub-sample we found no effect on returns but a decline in volatility during Advent for all the five indexes and during Lent only for the stock market from Brazil. For the second sub-sample the results indicate a decline in returns during Advent, for the stock markets from Argentina and Chile, but no impact on volatility. Such results could be explained by the circumstances specific to the religious practices but also by the inference of other calendar effects.

Suggested Citation

  • Ramona DUMITRIU & Razvan STEFANESCU, 2017. "The Behavior of Stock Prices during Lent and Advent," Proceedings RCE 2017, Editura Lumen, vol. 0, pages 95-112, November.
  • Handle: RePEc:lum:progal:v::y:2017:i::p:95-112
    DOI: https://doi.org/10.18662/lumproc.rce2017.1.8
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    More about this item

    Keywords

    Stock markets; Volatility; Returns; Calendar effects; Religious practices. Title of Book: Risk in Contemporary Economy;
    All these keywords.

    JEL classification:

    • A23 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - Graduate

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