Showing 11 - 20 of 133
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...
Persistent link: https://www.econbiz.de/10011258155
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...
Persistent link: https://www.econbiz.de/10011260955
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...
Persistent link: https://www.econbiz.de/10011113085
Romanian Abstract: Aceastǎ lucrare abordeazǎ unele particularitǎţi ale evoluţiei variabilelor financiare precum: comportamentul pieţelor financiare în cursul bulelor sau crizelor, riscurile sistematice şi legǎturile dintre pieţele financiare internaţionale. Sunt prezentaţi, de...
Persistent link: https://www.econbiz.de/10012983984
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...
Persistent link: https://www.econbiz.de/10012907914
Very often, the holiday effects are studied only for the first day before and for the first day after any public holiday. Beside these traditional forms of the holiday effects it was revealed an extended one, which refers to the abnormal stocks returns occurring in intervals, containing some...
Persistent link: https://www.econbiz.de/10012908279
Romanian Abstract: Această lucrare abordează unele dintre principalele caracteristici ale anomaliilor calendaristice precum cauzele acestora, persistenţa lor în timp sau posibilităţile de a le utiliza in elaborarea strategiilor de investiţii. Sunt prezentate, totodată, câteva dintre...
Persistent link: https://www.econbiz.de/10012909994
In the recent times, the Coronavirus Pandemic substantially influenced the financial markets. Such influence includes the transformations experienced by some calendar anomalies. This paper investigates the Extended Holiday Effects presence on the returns of three indexes from the Bucharest Stock...
Persistent link: https://www.econbiz.de/10013228381
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...
Persistent link: https://www.econbiz.de/10013083773
This paper approaches the possibilities of building investment strategies based on the calendar anomaly known as Friday the 13th effect. In this investigation we employ, for the period January 2010-August 2018, the closing values of three indexes from the United States capital market. We found...
Persistent link: https://www.econbiz.de/10012897396