The Winter Effect on Bucharest Stock Exchange

9 Pages Posted: 9 Dec 2018

See all articles by Ramona Dumitriu

Ramona Dumitriu

University Dunarea De Jos Galati

Razvan Stefanescu

University Dunarea De Jos Galati

Date Written: September 9, 2018

Abstract

The passing from quiet to turbulent periods could generate significant changes on some calendar anomalies of the capital markets. This paper approaches the persistence in time on Bucharest Stock Exchange of a seasonality associated to winter days. We investigate this calendar effect for three periods, two relative quiet and one turbulent. The results suggest this calendar anomaly was more visible during the turbulent periods than during the quiet ones.

Keywords: Calendar anomalies, Turbulences on financial markets, Romanian capital market.

JEL Classification: G40, G14, G10

Suggested Citation

Dumitriu, Ramona and Stefanescu, Razvan, The Winter Effect on Bucharest Stock Exchange (September 9, 2018). Available at SSRN: https://ssrn.com/abstract=3285511 or http://dx.doi.org/10.2139/ssrn.3285511

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
2
Abstract Views
139
PlumX Metrics