This paper examines the presence of the turn-of-the-year effects on the Romanian capital market. We use the daily closing values of some important indexes of the Bucharest Stock Exchange for the period January 2000 – August 2017. In order to reveal the impact of a turbulent context on the...

The Romanian version of this paper can be found at 'http://ssrn.com/abstract= 2371572' http://ssrn.com/abstract= 2371572.This paper investigates the presence of Gone Fishin' Effects on the Romanian Capital Market from January 2000 to July 2013. In this analysis we employ daily values of five...

This paper approaches the volatility transmission from the New York Stock Exchange to an emerging market, Bucharest Stock Exchange. In our investigation we employ daily values of Standard and Poor 500 Index from New York Stock Exchange and of six main indexes from Bucharest Stock Exchange. The...

The passing from quiet to turbulent periods could generate significant changes on some calendar anomalies of the capital markets. This paper approaches the persistence in time on Bucharest Stock Exchange of a seasonality associated to winter days. We investigate this calendar effect for three...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

Within-month anomalies and influence of macroeconomic news announcements are important characteristics of a stock market. In this paper we investigate their presence on Bucharest Stock Exchange. We find significant within-month effects and a considerable impact of some US macroeconomic news...

This paper investigates the existence of the monthly effects on the Romanian Stock Exchange. We employ the returns of the main indices and the trading volume and the trading values from the main components of the Bucharest Stock Exchange. We find different forms of monthly seasonality...

The SAD effect is a calendar anomaly linked to the few length of the daylight during the autumn and the winter. In this paper we investigate the presence of this seasonal effect on the Romanian capital market. We find evidences of a significant SAD effect for an important index of the Bucharest...

In the last decades the specialized literature revealed the seasonal effects on the financial markets evolution. Among them there is the day-of-the-week effect, which consists in significant differences from the average returns on some days of the week than others. This paper investigates the...

Acest articol investighează prezenţa Efectelor Gone Fishin' pe Piaţa Românească de Capital între ianuarie 2000 şi iulie 2013. In această analiză folosim valorile zilnice pentru cinci indici principali ai Bursei de Valori Bucureşti. Utilizăm modele GARCH pentru a revela această...