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Tom Effects During Quiet And Turbulent Times

Author

Listed:
  • Ramona Dumitriu

    (Dunarea de Jos University of Galati, Romania)

  • Razvan Stefanescu

    (Dunarea de Jos University of Galati, Romania)

Abstract

This paper investigates the turn-of-the-month effects presence on stock markets from 32 countries during two periods of time: a relative quiet one from January 2000 to December 2006 and a turbulent one from January 2000 to October 2013. We found some significant changes that occurred from the quiet to the turbulent times and some differences between emerging and developed markets.

Suggested Citation

  • Ramona Dumitriu & Razvan Stefanescu, 2013. "Tom Effects During Quiet And Turbulent Times," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 131-148.
    • Handle: RePEc:ddj:fserec:y:2013:p:131-148
    as

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    References listed on IDEAS

    as
    1. Booth, G. Geoffrey & Kallunki, Juha-Pekka & Martikainen, Teppo, 2001. "Liquidity and the turn-of-the-month effect: evidence from Finland," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 137-146, June.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    4. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    5. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
    Full references (including those not matched with items on IDEAS)

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