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 main indexes of Bucharest Stock Exchange. We use GARCH models to reveal this seasonality not only on indexes returns but...

This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock prices from the Romanian capital market for the period of time January 2000 - December 2012. This period was split in four sub-samples corresponding to different stages of the...

The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors’ behaviors which affect the stock markets seasonality. In this paper...

This paper investigates the turn-of-the-month effects presence on stock markets from 32 countries during two periods of time: a relative quiet one from January 2000 to December 2006 and a turbulent one from January 2000 to October 2013. We found some significant changes that occurred from the...

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 main indexes of Bucharest Stock Exchange. We use GARCH models to reveal this seasonality not only on indexes returns but...

Since the adhesion to European Union, the influence of the international financial markets on the Romanian capital market intensified. In this paper we investigate the impact of the shocks from New York Stock Exchange on the Bucharest Stock Exchange evolution. We found that a significant...

This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock prices from the Romanian capital market for the period of time January 2000 - December 2012. This period was split in four sub-samples corresponding to different stages of the...

The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors' behaviors which affect the stock markets seasonality. In this paper we...

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...

Some calendar anomalies could have different characteristics during quiet and turbulent times. This paper approaches the behavior of day-of-the-week (DOW) effect on the Romanian foreign exchange market for three periods: January 2010 - December 2014, January 2015 - December 2019 and January 2020...