Turn - of - the - month effect on the Bucharest stock exchange

This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian companies and RAQ – C, which includes the stock prices of smaller firms. We find evidences of the turn – of – the – month effect only for the BET – C evolution.

MoreLess

Year of publication:	2011-03-06
Authors:	Stefanescu, Razvan ; Dumitriu, Ramona
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Calendar anomalies \| Turn – of – the - month effect \| Romanian capital markets \| Seasonality \| Efficient Market Hypothesis

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G00 - Financial Economics. General ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009647364