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The impact of the Great Lent and of the Nativity Fast on the Bucharest Stock Exchange

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  • Stefanescu, Răzvan
  • Dumitriu, Ramona

Abstract

This paper explores the behavior of the Romanian capital market during the two period of fasting: the Great Lent and of the Nativity Fast. In this investigation we employ closing values of five indexes from Bucharest Stock Exchange for the period January 2007 - August 2016. The sample of data is divided into two sub-samples: the first sub-sample, from January 2007 to June 2012 is associated to a turbulent period on the financial markets, while the second sub-sample, from July 2012 to June 2016, corresponds to a rather quiet period of Romanian capital market. For the first sub-sample we found, only for one index, an increase of the mean returns during the Great Lent and a decline of volatility during the Nativity Fast. For the second sub-sample, the results indicate, for four indexes, the decrease of the mean returns during the Great Lent. We conclude that such evolutions could be associated to the practices of fasting but also to the impact of other factors such as the holiday spirit, the seasonal affective disorder or the year-end stock market behavior.

Suggested Citation

  • Stefanescu, Răzvan & Dumitriu, Ramona, 2016. "The impact of the Great Lent and of the Nativity Fast on the Bucharest Stock Exchange," MPRA Paper 89023, University Library of Munich, Germany, revised 22 Dec 2016.
    • Handle: RePEc:pra:mprapa:89023
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    Cited by:

    1. Ramona DUMITRIU & Razvan STEFANESCU, 2017. "The Behavior of Stock Prices during Lent and Advent," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 95-112.
    2. Ramona DUMITRIU & Razvan STEFANESCU, 2017. "The Behavior of Stock Prices during Lent and Advent," Proceedings RCE 2017, Editura Lumen, vol. 0, pages 95-112, November.

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    More about this item

    Keywords

    Calendar effects; Great Lent; Nativity Fast; Romanian capital market.;
    All these keywords.

    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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