This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...

The passing from quiet to turbulent periods could generate significant changes on some calendar anomalies of the capital markets. This paper approaches the persistence in time on Bucharest Stock Exchange of a seasonality associated to winter days. We investigate this calendar effect for three...

The Turn-of-the-quarter (TOQ) Effect is a calendar anomaly consisting in abnormal returns occurring in a specific time interval, that starts in the mth last trading day of a quarter (BQ-m) and ends in the nth last trading day of a quarter (BQ+n). As many other anomalies, the TOQ Effect is not...

Some calendar anomalies are not persistent in time. They experience various changes, including the modifications on their specific time intervals. This paper approaches the persistence in time of the abnormal returns of stock returns from United States capital market during the...

This paper aims to measure the positive (Expectations) and negative (Fears) investor sentiment about the ongoing economic conditions and analyze both sentiments for changes in stock market returns. Following the method proposed by Da et al. (2014), this study estimates the investor’s economic...

We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and future return was investigated in the Korean stock market from July 1990 to June 2018. The capital gains overhang was used as a reference point for a definition of the loss and...

In this paper, I examine the conflicting evidence in the finance literature on whether the equity market underreacts or overreacts to liquidity shocks. Using comprehensive stock-level news data, I find that the market underreacts to liquidity shocks, whether or not there is contemporaneous...

This paper approaches the behavior of stock prices from Bucharest Stock Exchange during winter school vacations from Romania. We employed closing values of five indexes from Bucharest Stock Exchange covering the period December 2012 - January 2023. We found, for all five indexes, high abnormal...