Efectul Turn-of-the-Year pe piaţa valutară din România

Some calendar anomalies that were detected in the stock markets could be also found in the foreign exchange markets. This paper approaches the presence of Turn-of-the-Year Effect in the logarithmic returns of Romanian leu – US dollar exchange rate daily values for a period that starts in July 2005 and it ends in March 2020. The results suggest that at the beginning and the end of a year Romanian national currency tends to depreciate consistently against US dollar.

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Year of publication:	2020-03-30
Authors:	Stefanescu, Răzvan ; Dumitriu, Ramona

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Type of publication:	Book / Working Paper
Language:	English ; Romanian
Notes:	Stefanescu, Răzvan and Dumitriu, Ramona (2020): Efectul Turn-of-the-Year pe piaţa valutară din România.
Classification:	g02 ; G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies ; G19 - General Financial Markets. Other
Source:	BASE

Persistent link: https://www.econbiz.de/10015266984