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...

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...

This paper examines the holiday effects 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 explores the effects of domestic and US macroeconomic announcement on the Romanian stock market. We found that some domestic macroeconomic announcement linked by the monetary policy had a consistent influence on the stock prices evolution. We also identify that some US macroeconomic...

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...

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...

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...

This paper examines the presence of the turn-of-the-year effects on the Romanian capital market. We use the daily closing values of some important indexes of the Bucharest Stock Exchange for the period January 2000 – August 2017. In order to reveal the impact of a turbulent context on the...

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...

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...