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

Author

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

Abstract

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.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:52770
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    File URL: https://mpra.ub.uni-muenchen.de/52770/1/MPRA_paper_52770.pdf
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    References listed on IDEAS

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    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.
    2. Ramona Dumitriu & Razvan Stefanescu, 2013. "Gone Fishin’ Effects on the Bucharest Stock Exchange," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 13(1), pages 107-116.
    3. 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.

    More about this item

    Keywords

    Halloween Effects; Gone Fishin’ Effects; School - Out Effects; Romanian Capital Market;

    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

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