PANAIT, Iulian; UZLAU, Carmen Marilena; ENE, Corina Maria - In: Internal Auditing and Risk Management 1 (2013) 29, pp. 24-37
This study investigates the presence on Bucharest Stock Exchange of one of the most documented seasonal anomalies of financial assets’ returns: the day-of-the-week effect. We use daily returns for five Romanian official exchange indices and for one MSCI Barra country index during May...