Showing 1 - 10 of 136
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
, their persistence in time or the possibilities of using them in building the investment strategies. There are also presented …
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
This paper approaches the possibilities of building investment strategies based on the calendar anomaly known as Friday … average. The investment strategies based on these patterns could be, in some circumstances, profitable …
Persistent link: https://www.econbiz.de/10012897396
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...
Persistent link: https://www.econbiz.de/10014362352
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
Persistent link: https://www.econbiz.de/10012844810
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...
Persistent link: https://www.econbiz.de/10012861241
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...
Persistent link: https://www.econbiz.de/10012824545
Many calendar anomalies of financial assets are sensitive to the markets’ turbulences. This paper approaches the changes that occurred in the Romanian capital market with three calendar anomalies that belong to the category of prolonged holiday effects: Gone Fishin’ Effect, School - Out...
Persistent link: https://www.econbiz.de/10013405606