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MOY effects in returns and in volatilities of the Romanian capital market

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  • Stefanescu, Razvan
  • Dumitriu, Ramona

Abstract

This paper explores Month-of-the-year effects in returns and in volatilities of the Bucharest Stock Exchange. Our investigation covers two periods: the first one, from January 2000 to January 2006, corresponds to the last stage of Romania’s transition to a capitalist system, while the second one, from January 2007 to August 2013, is marked by the adhesion to European Union and by the effects of the global crisis. We use GARCH models to identify the monthly seasonality in returns and in volatilities. The results indicate significant changes of this calendar anomaly from the first to the second period.

Suggested Citation

  • Stefanescu, Razvan & Dumitriu, Ramona, 2013. "MOY effects in returns and in volatilities of the Romanian capital market," MPRA Paper 52474, University Library of Munich, Germany, revised 28 Oct 2013.
  • Handle: RePEc:pra:mprapa:52474
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    File URL: https://mpra.ub.uni-muenchen.de/52474/1/MPRA_paper_52474.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Monthly Seasonality; Romanian Capital Market; GARCH;

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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