STYLIZED FACTS OF THE DAILY, WEEKLY AND MONTHLY RETURNS ON BUCHAREST STOCK EXCHANGE DURING 2007-2012

Our paper documents a set of statistical properties of the monthly, weekly and dailyreturns for the most liquid 30 stocks traded on Bucharest Stock Exchange during 2007 - 2012 andalso for 3 important Romanian stock market indices. Our results confirm the presence of most thestylized facts documented by Cont (2001) and other similar studies. Also we identify someparticularities of the stock returns on the Romanian capital market which are useful both for localand foreign retail and institutional investors in their portfolio management decisions. In particular,we found that the monthly simple returns have an autocorrelation effect with 1-5lags, which isunusual for developed markets but was previously detected on other European emerging andfrontier markets.