The month-of-the-year effect on Bucharest Stock Exchange

This study investigates the presence of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly returns for five Romanian official exchange indices and for one MSCI Barra country index during May 2007-March 2013, thereby including both the 2007-2009 financial crisis and the recovery that followed during 2009-2013. Our results show that none of the coefficients of the two models are statistically significant, which lead us to conclude that we can not confirm the presence of the January effect or of any other month-of-the-year effect on the Romanian capital market.