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Monthly seasonality in the Bucharest stock exchange

Author

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

Abstract

This paper investigates the existence of the monthly effects on the Romanian Stock Exchange. We employ the returns of the main indices and the trading volume and the trading values from the main components of the Bucharest Stock Exchange. We find different forms of monthly seasonality explainable by some characteristics of the stocks.

Suggested Citation

  • Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "Monthly seasonality in the Bucharest stock exchange," MPRA Paper 41603, University Library of Munich, Germany, revised 08 Apr 2011.
    • Handle: RePEc:pra:mprapa:41603
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    File URL: https://mpra.ub.uni-muenchen.de/41603/1/MPRA_paper_41603.pdf
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    References listed on IDEAS

    as
    1. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974, Elsevier.
    2. Pandey I M, 2002. "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers WP2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department.
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    4. Branch, Ben, 1977. "A Tax Loss Trading Rule," The Journal of Business, University of Chicago Press, vol. 50(2), pages 198-207, April.
    5. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    6. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    7. Barry, Christopher B. & Brown, Stephen J., 1984. "Differential information and the small firm effect," Journal of Financial Economics, Elsevier, vol. 13(2), pages 283-294, June.
    8. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    9. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Month-of-the-year effects on Romanian capital market before and after the adhesion to European Union," MPRA Paper 53069, University Library of Munich, Germany, revised 04 Apr 2013.

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    More about this item

    Keywords

    Seasonality; Bucharest Stock Exchange; Efficient Market Hypothesis; Stock Market Anomalies;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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