In the last decades the specialized literature revealed the seasonal effects on the financial markets evolution. Among them there is the day-of-the-week effect, which consists in significant differences from the average returns on some days of the week than others. This paper investigates the...

This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian...

This paper explores the presence of within – month effects on the Romanian capital markets. In our analysis we employ the daily values of some important indexes from two main components of the Bucharest Stock Exchange: BET, where there are listed some of the biggest Romanian corporations, and...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

In the last decades, several studies revealed the significant impact of oil price variation not only on the real economic activity but also on the financial markets evolutions. Such relations are affected by some particularities of the national economies. In this paper we examine the impact of...

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...

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...

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 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...

The extended Friday the 13th Effect is a calendar anomaly consisting in abnormal stock returns that occur in a time interval that starts some trading days before the supposed unlucky day of Friday the 13th and it ends some trading days after. This paper approaches the presence of such patterns...