Analysis of within – Month Effects on the Bucharest Stock Exchange

6 Pages Posted: 26 Sep 2012

See all articles by Ramona Dumitriu

Ramona Dumitriu

University Dunarea De Jos Galati

Razvan Stefanescu

University Dunarea De Jos Galati

Costel Nistor

University Dunarea De Jos Galati

Date Written: October 15, 2011

Abstract

This paper explores the presence of within – month effects on the Romanian capital markets. In our analysis we employ the daily values of some important indexes from two main components of the Bucharest Stock Exchange: BET, where there are listed some of the biggest Romanian corporations, and RASDAQ, which includes smaller companies. We find some significant differences between the calendar anomalies from the two markets. We also discover that in the last years within – month effects experienced some changes that could be linked with the development of the Romanian financial markets, by the adhesion to the European Union and by the global crisis.

Keywords: calendar patterns, Romanian capital market, turn of the month effect, third month effect, half of the month effect

JEL Classification: G02, G14, G19

Suggested Citation

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel, Analysis of within – Month Effects on the Bucharest Stock Exchange (October 15, 2011). Available at SSRN: https://ssrn.com/abstract=2151698 or http://dx.doi.org/10.2139/ssrn.2151698

Ramona Dumitriu (Contact Author)

University Dunarea De Jos Galati ( email )

Romania

Razvan Stefanescu

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Costel Nistor

University Dunarea De Jos Galati ( email )

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