Efectul Turn-of-the-Year pe piaţa valutară din România (The Turn-of-the-Year Effect in the Romanian Foreign Exchange Market)

36 Pages Posted: 23 Apr 2020

See all articles by Razvan Stefanescu

Razvan Stefanescu

affiliation not provided to SSRN

Ramona Dumitriu

affiliation not provided to SSRN

Date Written: March 30, 2020

Abstract

Romanian Abstract: Unele anomalii calendaristice care au fost detectate pe pieţele de acţiuni pot fi, de asemenea, descoperite şi pe pieţele valutare. Această lucrare abordează prezenţa Efectului Turn-of-the-Year în randamentele logaritmice ale valorilor zilnice ale ratei de schimb dintre leul românesc şi dolarul SUA într-o perioadă care începe în iulie 2005 şi se termină în Martie 2020. Rezultatele sugerează că la începutul şi sfârşitul unui an moneda naţională a României tinde să se deprecieze consistent în raport cu dolarul SUA.

English Abstract: Some calendar anomalies that were detected in the stock markets could be also found in the foreign exchange markets. This paper approaches the presence of Turn-of-the-Year Effect in the logarithmic returns of Romanian leu – US dollar exchange rate daily values for a period that starts in July 2005 and it ends in March 2020. The results suggest that at the beginning and the end of a year Romanian national currency tends to depreciate consistently against US dollar.

Note: Downloadable document is in Romanian.

Keywords: calendar anomalies, Romanian foreign exchange market, Turn-of-the-Year effects

JEL Classification: G10, G14, G19

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Efectul Turn-of-the-Year pe piaţa valutară din România (The Turn-of-the-Year Effect in the Romanian Foreign Exchange Market) (March 30, 2020). Available at SSRN: https://ssrn.com/abstract=3564347 or http://dx.doi.org/10.2139/ssrn.3564347

Razvan Stefanescu (Contact Author)

affiliation not provided to SSRN

Ramona Dumitriu

affiliation not provided to SSRN

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