Changes of the Time Intervals Specific to Calendar Anomalies: The Case of TOQ Effect on Bucharest Stock Exchange

10 Pages Posted: 17 Oct 2020

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: August 28, 2020

Abstract

The Turn-of-the-quarter (TOQ) Effect is a calendar anomaly consisting in abnormal returns occurring in a specific time interval, that starts in the mth last trading day of a quarter (BQ-m) and ends in the nth last trading day of a quarter (BQ+n). As many other anomalies, the TOQ Effect is not necessary persistent in time, so the interval [BQ-m; BQ+n] could experience some changes. This paper explores such changes for the time intervals specific to the Turn-of-the-quarter (TOQ) Effect using the daily values of three main indexes from Bucharest Stock Exchange: BET, BET-FI and BET-XT. We investigate the presence of this calendar anomaly in two periods: January 2007 – December 2013 and January 2014 – July 2020. For the first one we found abnormal returns within the time intervals [BQ-3; BQ+1], in the case of BET, [BQ-6; BQ+3], in the case of BET-FI and for a single trading day (BQ-2), in the case of BET-XT. For the second period, the results indicate abnormal returns within the time intervals [BQ-5; BQ+5], in the case of BET and BET-XT, and [BQ-5; BQ+6], in the case of BET-FI. These changes could be linked to the behaviors of investors who want to exploit or to avoid the abnormal returns, but also to the different circumstances associated to the two periods.

Keywords: Persistence in Time of the Calendar Anomalies, TOQ Effect, Romanian Capital Market

JEL Classification: G40, G10, G14

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Changes of the Time Intervals Specific to Calendar Anomalies: The Case of TOQ Effect on Bucharest Stock Exchange (August 28, 2020). Available at SSRN: https://ssrn.com/abstract=3682368 or http://dx.doi.org/10.2139/ssrn.3682368

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
7
Abstract Views
129
PlumX Metrics