IDEAS home Printed from https://ideas.repec.org/a/ovi/oviste/vxvy2015i2p488-493.html
   My bibliography  Save this article

January Effect and Market Conditions: a Case of Romania

Author

Listed:
  • Aurora Murgea

    (Department of Finance, Faculty of Economics and Business Administration West University from Timisoara)

Abstract

One of the first steps in discovery is the awareness of anomaly. Very often nature violates the expectations that rule the normal science. This paper examines the anomalies that can arise on capital markets, with an emphasis on the January effect. Several hypotheses are proposed in order to explain the abnormal returns recorded by small firms in the first month of the year: the window-dressing hypothesis, tax loss selling hypothesis or the ‘not so rational’ behaviour of the investors. Using the BET index from 2000 to 2014 and a dummy variable as a proxy for January effect, it can be noticed that Romanian capital market seems to be prone to experience higher returns especially in the less volatile period, as the one before the crisis.

Suggested Citation

  • Aurora Murgea, 2015. "January Effect and Market Conditions: a Case of Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 488-493, May.
    • Handle: RePEc:ovi:oviste:v:xv:y:2015:i:2:p:488-493
    as

    Download full text from publisher

    File URL: http://stec.univ-ovidius.ro/html/anale/RO/2015/i2/ANALE%20vol%2015%20issue_2_2015_site.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    capital markets; anomalies; January effect; efficiency;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ovi:oviste:v:xv:y:2015:i:2:p:488-493. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gheorghiu Gabriela (email available below). General contact details of provider: https://edirc.repec.org/data/feoviro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.