Investigation About the Presence of the Day-of-the-Week Effect in the Bucharest Stock Exchange

8 Pages Posted: 11 Dec 2012

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Costel Nistor

University Dunarea de Jos Galati

Date Written: September 20, 2009

Abstract

In the last decades the specialized literature revealed the seasonal effects on the financial markets evolution. Among them there is the day-of-the-week effect, which consists in significant differences from the average returns on some days of the week than others. This paper investigates the presence of the day-of-the-week effect in Bucharest Stock Exchange. Our analysis is based on the BET index and on the returns of all the stocks traded in BET during the first semester of 2009. The tendency of the Bucharest Stock Market to display systematic patterns of certain day of the week is studied by regressions with dummy variables for the working days of a week. The results indicate a significant Thursday effect for BET and for most of the ten stocks.

Keywords: Romanian Stock Market, Seasonality, Thursday Effect

JEL Classification: G02, G14, G19

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel, Investigation About the Presence of the Day-of-the-Week Effect in the Bucharest Stock Exchange (September 20, 2009). Available at SSRN: https://ssrn.com/abstract=2187399 or http://dx.doi.org/10.2139/ssrn.2187399

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domneasc─â, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

Costel Nistor

University Dunarea de Jos Galati ( email )

Galati, 800001
Romania

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
26
Abstract Views
322
PlumX Metrics