An examination of the calendar anomalies in the romanian stock market

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If the error persists, contact the administrator by writing to support infona. You can change the active elements on the page buttons and links by pressing a combination of keys:. INFONA - science communication portal. An Examination of the Calendar Anomalies in the Romanian Stock Market. Delia-Elena Diaconasu , Seyed Mehdian , Ovidiu Stoica. Abstract The main objective of this paper is to investigate the presence of the-day-of-the week and the-month-of-the-year effects in the Romanian equity market, using Bucharest Stock Exchange returns between and While we observe the presence of Thursday effect in Romanian equity market, we do not find any traditional Monday or January effect for the entire sample period.

Furthermore, we observe the January effect during pre-crisis period. However, the subsample analysis provides very different results, perhaps due to increasing degree of capital market maturity, EU accession and other important events, such as the financial crisis.

It follows that the Romanian equity market is reasonably efficient, where prices reflect all publicly available information and no trading rule and market timing can be used to generate abnormal returns.

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School of Management, The University of Michigan-Flint, E. Kearsley Street, Flint , MI, USA. Day-of-the-week effect Month-of-the-year effect Efficiency Capital market Return Day-of-the-week effect Month-of-the-year effect Efficiency Capital market Return. Additional information Publication languages: Fields of science No field of science has been suggested yet.

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