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The SAD cycle for the Bucharest Stock Exchange

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  • Stefanescu, Razvan
  • Dumitriu, Ramona

Abstract

The SAD effect is a calendar anomaly linked to the few length of the daylight during the autumn and the winter. In this paper we investigate the presence of this seasonal effect on the Romanian capital market. We find evidences of a significant SAD effect for an important index of the Bucharest Stock Exchange. We also identify some differences of this anomaly from before and during the crisis.

Suggested Citation

  • Stefanescu, Razvan & Dumitriu, Ramona, 2011. "The SAD cycle for the Bucharest Stock Exchange," MPRA Paper 41889, University Library of Munich, Germany, revised 09 Sep 2011.
    • Handle: RePEc:pra:mprapa:41889
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    References listed on IDEAS

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    1. Cao, Melanie & Wei, Jason, 2005. "Stock market returns: A note on temperature anomaly," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1559-1573, June.
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    7. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
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    Cited by:

    1. Stefanescu, Răzvan & Dumitriu, Ramona, 2016. "The impact of the Great Lent and of the Nativity Fast on the Bucharest Stock Exchange," MPRA Paper 89023, University Library of Munich, Germany, revised 22 Dec 2016.
    2. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
    3. Tihana Škrinjarić & Branka Marasović & Boško Šego, 2021. "Does the Croatian Stock Market Have Seasonal Affective Disorder?," JRFM, MDPI, vol. 14(2), pages 1-16, February.
    4. Tihana Škrinjarić, 2018. "Testing for Seasonal Affective Disorder on Selected CEE and SEE Stock Markets," Risks, MDPI, vol. 6(4), pages 1-26, December.
    5. Tantisantiwong, Nongnuch & Halari, Anwar & Helliar, Christine & Power, David, 2018. "East meets West: When the Islamic and Gregorian calendars coincide," The British Accounting Review, Elsevier, vol. 50(4), pages 402-424.

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    More about this item

    Keywords

    Behavioral finance; Calendar anomalies; Seasonal affective disorder; Romanian capital market;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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