The Extended Holiday Effects on Bucharest Stock Exchange during Coronavirus Pandemic

Abstract

In the recent times, the Coronavirus Pandemic substantially influenced the financial markets. Such influence includes the transformations experienced by some calendar anomalies. This paper investigates the Extended Holiday Effects presence on the returns of three indexes from the Bucharest Stock Exchange for the period February 3, 2020 – May 7, 2021. The results indicate that, comparing to a pre-pandemic period, significant changes occurred for both pre and post-Holiday Effects.

Keywords: The Extended Holiday Effect, Persistence in Time of the Calendar Anomalies, Romanian Capital Market, Coronavirus Pandemic

JEL Classification: G10, G14, G40