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Analysis of within – month effects on the Bucharest stock exchange

  • Dumitriu, Ramona
  • Stefanescu, Razvan
  • Nistor, Costel

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.

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File URL: http://mpra.ub.uni-muenchen.de/36562/1/MPRA_paper_36562.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 36562.

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Date of creation: 11 Aug 2011
Date of revision: 09 Feb 2012
Handle: RePEc:pra:mprapa:36562
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  1. 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.
  2. 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.
  3. Joshi, Nayan & K.C, Fatta Bahadur, 2005. "The Nepalese stock market: Efficiency and calendar anomalies," MPRA Paper 26999, University Library of Munich, Germany.
  4. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
  5. 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.
  6. Lakonishok, Josef, et al, 1991. "Window Dressing by Pension Fund Managers," American Economic Review, American Economic Association, vol. 81(2), pages 227-31, May.
  7. 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.
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