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

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: October 2011

Abstract

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

Stefanescu, Razvan and Dumitriu, Ramona, The Sad Cycle for the Bucharest Stock Exchange (October 2011). International Conference “Risk in Contemporary Economy” XIIth Edition, 2011, Galati, Romania, “Dunarea de Jos” University of Galati – Faculty of Economics and Business Administration. Available at SSRN: https://ssrn.com/abstract=2002303 or http://dx.doi.org/10.2139/ssrn.2002303

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

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