Download This PaperTurn - of - the - Month Effect on the Bucharest Stock Exchange
6 Pages Posted: 26 Sep 2012
Date Written: March 25, 2011
Abstract
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.
Keywords: calendar anomalies, turn – of – the - month effect, Romanian capital markets, seasonality, efficient market hypothesis
JEL Classification: G02, G14, G19
Suggested Citation: Suggested Citation
Stefanescu, Razvan and Dumitriu, Ramona, Turn - of - the - Month Effect on the Bucharest Stock Exchange (March 25, 2011). Available at SSRN: https://ssrn.com/abstract=2151722 or http://dx.doi.org/10.2139/ssrn.2151722
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