Monthly seasonality in the stock prices returns is among the best known calendar anomalies that affect the capital markets. The knowledge about such calendar patterns could be exploited in building successful investment strategies. However, it was revealed that not all the calendar anomalies...

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...

This paper examines the holiday effect presence of on the Romanian stock market. We perform regressions with dummy variables and daily values of some from the main indexes of the Bucharest Stock Exchange. The results indicate a post-holiday effect for all the indexes and a pre-holiday effect...

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...

This paper approaches the behavior of stock returns on US capital market during the first half of February. We use the closing values of four indexes from United States capital market for the period January 2011 - April 2023. We found, for all four indexes, abnormal high returns during the first...

Since their discovery, many calendar anomalies experienced different types of changes. This paper explores the possibility of enlargement of the time interval specific to the January Effect on London Stock Exchange. We investigate the abnormal returns presence on an extended time interval that...

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...

Romanian Abstract: Unele anomalii calendaristice care au fost detectate pe pieţele de acţiuni pot fi, de asemenea, descoperite şi pe pieţele valutare. Această lucrare abordează prezenţa Efectului Turn-of-the-Year în randamentele logaritmice ale valorilor zilnice ale ratei de schimb...

Romanian Abstract: Această lucrare abordează câteva metode simple de identificare a anomaliilor calendaristice. Luând ca exemplu Efectul TOY, vom arăta cum pot fi aplicate testele t sau regresiile OLS pentru a detecta o componentă sezonieră a evoluţiei randamentelor activelor financiare

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...