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Prolonged holiday effects on Romanian capital market before and after the adhesion to EU

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

The adhesion to the European Union represented a turning point for the Romanian capital market. Before the adhesion Bucharest Stock Exchange experienced a relatively quiet period which lasted for many years. Instead, after Romania had became member of the European Union the capital market experienced a turbulent period. After the months of optimism induced by the adhesion, Bucharest Stock Exchange was affected by the crisis from the international financial markets and the share prices dropped dramatically. In these circumstances investors’ behaviors changed affecting the seasonality of shares prices. In this paper we investigate the changes occurred for three types of seasonality which are included in the category of prolonged holiday calendar anomalies: Halloween Effect, Gone Fishin’ Effect and School out Effect. We employ daily values of five indexes from Bucharest Stock Exchange. We find that all of them were presented on the Bucharest Stock Exchange before the adhesion, but for some indexes the results indicate reversed forms of prolonged holiday effects. After the adhesion, the Gone Fishin’ Effect and the School out Effect disappeared while the Halloween Effect decreased in intensity. We conclude that turbulent times are not favorable for these calendar anomalies.

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File URL: http://mpra.ub.uni-muenchen.de/52770/1/MPRA_paper_52770.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 52770.

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Date of creation: Oct 2012
Date of revision: Jan 2013
Handle: RePEc:pra:mprapa:52770
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  1. Pettengill, Glenn N, 1989. "Holiday Closings and Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 57-67, Spring.
  2. 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.
  3. 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.
  4. 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.
  5. Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 319-334, December.
  6. David Hirshleifer & TYLER G. SHUMWAY, 2004. "Good Day Sunshine: Stock Returns and the Weather," Finance 0412004, EconWPA.
  7. Harrison, J Michael & Kreps, David M, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, MIT Press, vol. 92(2), pages 323-36, May.
  8. 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.
  9. Ben Jacobsen & Nuttawat Visaltanachoti, 2009. "The Halloween Effect in U.S. Sectors," The Financial Review, Eastern Finance Association, vol. 44(3), pages 437-459, 08.
  10. Wilson, Jack W & Jones, Charles P, 1993. "Comparison of Seasonal Anomalies across Major Equity Markets: A Note," The Financial Review, Eastern Finance Association, vol. 28(1), pages 107-15, February.
  11. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "The Halloween effect during quiet and turbulent times," MPRA Paper 41539, University Library of Munich, Germany, revised 25 Sep 2012.
  12. Edwin D. Maberly & Raylene M. Pierce, 2004. "Stock Market Efficiency Withstands Another Challenge: Solving the "Sell in May/Buy after Halloween" Puzzle," Econ Journal Watch, Econ Journal Watch, vol. 1(1), pages 29-46, April.
  13. 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.
  14. Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.
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