Analysis of within – month effects on the Bucharest stock exchange
This paper explores the presence of within – month effects on the Romanian capital markets. In our analysis we employ the daily values of some important indexes from two main components of the Bucharest Stock Exchange: BET, where there are listed some of the biggest Romanian corporations, and RASDAQ, which includes smaller companies. We find some significant differences between the calendar anomalies from the two markets. We also discover that in the last years within – month effects experienced some changes that could be linked with the development of the Romanian financial markets, by the adhesion to the European Union and by the global crisis.
|Date of creation:||11 Aug 2011|
|Date of revision:||09 Feb 2012|
|Publication status:||Published in Proceedings of The 17th International Conference "The Knowledge-Based Organization" Sibiu, November 2011 (2011): pp. 109-116|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eugene F Fama, .
"Market Efficiency, Long-Term Returns, and Behavioral Finance,"
CRSP working papers
448, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
- Eugene F. Fama, . "Market Efficiency, Long-term Returns, and Behavioral Finance," CRSP working papers 340, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
- Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 187-201, June.
- Joshi, Nayan & K.C, Fatta Bahadur, 2005. "The Nepalese stock market: Efficiency and calendar anomalies," MPRA Paper 26999, University Library of Munich, Germany.
- 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.
- Lakonishok, Josef, et al, 1991.
"Window Dressing by Pension Fund Managers,"
American Economic Review,
American Economic Association, vol. 81(2), pages 227-231, May.
- Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:36562. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.