The SAD cycle for the Bucharest Stock Exchange
The SAD effect is a calendar anomaly linked to the few length of the daylight during the autumn and the winter. In this paper we investigate the presence of this seasonal effect on the Romanian capital market. We find evidences of a significant SAD effect for an important index of the Bucharest Stock Exchange. We also identify some differences of this anomaly from before and during the crisis.
|Date of creation:||09 Sep 2011|
|Date of revision:||09 Sep 2011|
|Publication status:||Published in Proceedings of the International Conference “Risk in Contemporary Economy” XIIth Edition, 2011, Galati, Romania, “Dunarea de Jos” University of Galati – Faculty of Economics and Business Administration (2011): pp. 372-377|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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