Changes in the Stocks Prices Behavior Before and After the Public Holidays: Case of Bucharest Stock Exchange

International Scientific Conference Risk in Contemporary Economy, RCE 2018

22 Pages Posted: 19 Nov 2018

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: June 3, 2018

Abstract

Very often, the holiday effects are studied only for the first day before and for the first day after any public holiday. Beside these traditional forms of the holiday effects it was revealed an extended one, which refers to the abnormal stocks returns occurring in intervals, containing some days before and some days after public holidays. This paper approaches the persistence in time of the traditional and extended holiday effects on the Romanian capital market. We investigate these calendar effects by employing the daily values of four important indexes from the Bucharest Stock Exchange during three periods: one relative quiet, from September 1997 to December 2006, one turbulent, from January 2007 to December 2012 and another relative quiet period, from January 2013 to May 2018. The traditional holiday effects were present during the first two periods but they disappeared in the third one. Instead, we found that extended holiday effects were more persistent in time although they seemed sensitive to the capital market turbulences.

Keywords: calendar anomalies, romanian capital market, holiday effects, quiet and turbulent times

JEL Classification: G40, G14, G10

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Changes in the Stocks Prices Behavior Before and After the Public Holidays: Case of Bucharest Stock Exchange (June 3, 2018). International Scientific Conference Risk in Contemporary Economy, RCE 2018. Available at SSRN: https://ssrn.com/abstract=3281937 or http://dx.doi.org/10.2139/ssrn.3281937

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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