The Behavior of Stock Prices During Lent and Advent

19 Pages Posted: 30 Dec 2017

See all articles by Ramona Dumitriu

Ramona Dumitriu

University Dunarea De Jos Galati

Razvan Stefanescu

University Dunarea De Jos Galati

Date Written: July 29, 2017


The religious practices generate some important calendar effects on the stock markets evolutions. This paper explores the impact on stock markets of two periods from the Catholic Church Calendar, Advent and Lent, for the period January 2009–May 2017. We employ as data the closing daily values of stock exchanges indexes from five countries where the main religion is the Roman Catholicism: Argentina, Brazil, Chile, Hungary and Mexico. The sample of data used in the investigation is divided in two sub-samples: the first, from January 2009 to December 2012, covers a period when international stock market recovered after the 2007–2008 crisis, while the second sub-sample, from January 2013 to May 2017, corresponds, at a global scale, to a relative normal period. We employ GARCH models to reveal the impact of the Advent and Lent on the prices returns and volatility. For the first sub-sample we found no effect on returns but a decline in volatility during Advent for all the five indexes and during Lent only for the stock market from Brazil. For the second sub-sample the results indicate a decline in returns during Advent, for the stock markets from Argentina and Chile, but no impact on volatility. Such results could be explained by the circumstances specific to the religious practices but also by the inference of other calendar effects.

Keywords: Stock markets, Volatility, Returns, Calendar effects, Religious practices

JEL Classification: G14, G15, G40, G41

Suggested Citation

Dumitriu, Ramona and Stefanescu, Razvan, The Behavior of Stock Prices During Lent and Advent (July 29, 2017). Available at SSRN: or

Ramona Dumitriu (Contact Author)

University Dunarea De Jos Galati ( email )


Razvan Stefanescu

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008

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