MOY effects in returns and in volatilities of the Romanian capital market

This paper explores Month-of-the-year effects in returns and in volatilities of the Bucharest Stock Exchange. Our investigation covers two periods: the first one, from January 2000 to January 2006, corresponds to the last stage of Romania’s transition to a capitalist system, while the second one, from January 2007 to August 2013, is marked by the adhesion to European Union and by the effects of the global crisis. We use GARCH models to identify the monthly seasonality in returns and in volatilities. The results indicate significant changes of this calendar anomaly from the first to the second period.