The Winter Effect on Bucharest Stock Exchange
9 Pages Posted: 9 Dec 2018
Date Written: September 9, 2018
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: Suggested Citation