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The month-of-the-year effect on Bucharest Stock Exchange

Author

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  • Iulian Panait

    (Hyperion University of Bucharest)

Abstract

This study investigates the presence of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly returns for five Romanian official exchange indices and for one MSCI Barra country index during May 2007-March 2013, thereby including both the 2007-2009 financial crisis and the recovery that followed during 2009-2013. Our results show that none of the coefficients of the two models are statistically significant, which lead us to conclude that we can not confirm the presence of the January effect or of any other month-of-the-year effect on the Romanian capital market.

Suggested Citation

  • Iulian Panait, 2013. "The month-of-the-year effect on Bucharest Stock Exchange," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 1(1), pages 19-26, March.
    • Handle: RePEc:hyp:journl:v:1:y:2013:i:1:p:19-26
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    Cited by:

    1. Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.

    More about this item

    Keywords

    stock returns; volatility; seasonal anomalies; frontier markets; GARCH models;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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