Introducere în analiza anomaliilor calendaristice, Partea a doua (An Introduction to the Analysis of the Calendar Anomalies, Part 2)

29 Pages Posted: 31 Jan 2020

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: January 4, 2020

Abstract

Romanian Abstract: Această lucrare abordează câteva metode simple de identificare a anomaliilor calendaristice. Luând ca exemplu Efectul TOY, vom arăta cum pot fi aplicate testele t sau regresiile OLS pentru a detecta o componentă sezonieră a evoluţiei randamentelor activelor financiare.

English Abstract: This paper approaches some simple methods for the calendar anomalies identification. Taking the TOY Effect as an example, we show how the t tests or the OLS regressions could be used to detect a seasonal component of the financial assets’ returns.

Note: Downloadable document in Romanian.

Keywords: Financial Markets, Calendar Anomalies, Turn-of-the-Year Effect

JEL Classification: G10, G14, G40

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Introducere în analiza anomaliilor calendaristice, Partea a doua (An Introduction to the Analysis of the Calendar Anomalies, Part 2) (January 4, 2020). Available at SSRN: https://ssrn.com/abstract=3513768 or http://dx.doi.org/10.2139/ssrn.3513768

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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