Turn-of-the-year effects on Bucharest Stock Exchange
Abstract
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 turn-of-the-year effects we split this sample of data into three sub-samples. The first one, from January 2000 to December 2006, corresponds to a relatively quiet context. The second one, from January 2007 to June 2012, was marked by significant turbulences provoked mainly by the global crisis. The third one, from July 2012 to August 2017, could be considered as relatively quiet as the Romanian capital market recovered after the global crisis. For the first and the third sub-samples we identified turn-of-the-year effects for all the indexes employed. Instead, for the second sub-sample we found this calendar effect only for one of the five indexes used in the investigation. We conclude that turn-of-the-year effects, banished from Bucharest Stock Exchange by the turbulences, came back after the capital market regained its relative stability.
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