The Sad Cycle for the Bucharest Stock Exchange
International Conference “Risk in Contemporary Economy” XIIth Edition, 2011, Galati, Romania, “Dunarea de Jos” University of Galati – Faculty of Economics and Business Administration
6 Pages Posted: 13 Feb 2012
Date Written: October 2011
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 Stock Exchange. We also identify some differences of this anomaly from before and during the crisis.
Keywords: Behavioral finance, Calendar anomalies, Seasonal affective disorder, Romanian capital market
JEL Classification: G02, G14, G01
Suggested Citation: Suggested Citation