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Analysis of within – month effects on the Bucharest stock exchange

Author

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  • Dumitriu, Ramona
  • Stefanescu, Razvan
  • Nistor, Costel

Abstract

This paper explores the presence of within – month effects on the Romanian capital markets. In our analysis we employ the daily values of some important indexes from two main components of the Bucharest Stock Exchange: BET, where there are listed some of the biggest Romanian corporations, and RASDAQ, which includes smaller companies. We find some significant differences between the calendar anomalies from the two markets. We also discover that in the last years within – month effects experienced some changes that could be linked with the development of the Romanian financial markets, by the adhesion to the European Union and by the global crisis.

Suggested Citation

  • Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "Analysis of within – month effects on the Bucharest stock exchange," MPRA Paper 36562, University Library of Munich, Germany, revised 09 Feb 2012.
    • Handle: RePEc:pra:mprapa:36562
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Calendar patterns; Romanian capital market; turn of the month effect; third month effect; half of the month effect;
    All these keywords.

    JEL classification:

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

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