IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/52473.html
   My bibliography  Save this paper

Efecte Gone Fishin’ la Bursa de Valori din Bucureşti
[Gone Fishin’ Effects on the Bucharest Stock Exchange]

Author

Listed:
  • Dumitriu, Ramona
  • Stefanescu, Razvan

Abstract

This paper investigates the presence of Gone Fishin’ Effects on the Romanian Capital Market from January 2000 to July 2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to reveal this seasonality not only on indexes returns but also on the capital market volatility. In order to identify the differences between quiet and turbulent periods of time we split our sample of data into two sub-samples. The first, from January 2000 to December 2006, corresponds to a relative quiet period, while the second, from January 2007 to August 2013, corresponds to a turbulent period. Our results indicate the decline of Gone Fishin’ Effects on returns from the first to the second sub-sample.

Suggested Citation

  • Dumitriu, Ramona & Stefanescu, Razvan, 2013. "Efecte Gone Fishin’ la Bursa de Valori din Bucureşti
    [Gone Fishin’ Effects on the Bucharest Stock Exchange]
    ," MPRA Paper 52473, University Library of Munich, Germany, revised 28 Sep 2013.
  • Handle: RePEc:pra:mprapa:52473
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/52473/1/MPRA_paper_52473.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Cao, Melanie & Wei, Jason, 2005. "Stock market returns: A note on temperature anomaly," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1559-1573, June.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "Holiday effect on the Romanian stock market," MPRA Paper 41635, University Library of Munich, Germany, revised 08 Sep 2011.
    4. David Hirshleifer & Tyler Shumway, 2003. "Good Day Sunshine: Stock Returns and the Weather," Journal of Finance, American Finance Association, vol. 58(3), pages 1009-1032, June.
    5. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Prolonged holiday effects on Romanian capital market before and after the adhesion to EU," MPRA Paper 52770, University Library of Munich, Germany, revised Jan 2013.
    6. Wessel Marquering & Johan Nisser & Toni Valla, 2006. "Disappearing anomalies: a dynamic analysis of the persistence of anomalies," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 291-302.
    7. Hong, Harrison & Yu, Jialin, 2009. "Gone fishin': Seasonality in trading activity and asset prices," Journal of Financial Markets, Elsevier, vol. 12(4), pages 672-702, November.
    8. Holden, Ken & Thompson, John & Ruangrit, Yuphin, 2005. "The Asian crisis and calendar effects on stock returns in Thailand," European Journal of Operational Research, Elsevier, vol. 163(1), pages 242-252, May.
    9. Choudhry, Taufiq, 2001. "Month of the Year Effect and January Effect in Pre-WWI Stock Returns: Evidence from a Non-linear GARCH Model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 1-11, January.
    10. Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December.
    11. Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.
    12. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    13. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
    14. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    15. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    16. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ramona DUMITRIU & Razvan STEFANESCU, 2014. "Gone Fishin’ Effects In Returns," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 254-261.

    More about this item

    Keywords

    Calendar Anomalies; GARCH; Romanian Capital Market; Volatility; Persistence in Time;

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:pra:mprapa:52473. 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). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.