بررسی ناهنجاری سالنامه در بازار سهام رومانیایی

The main objective of this paper is to investigate the presence of the-day-of-the week and the-month-of-the-year effects in the Romanian equity market, using Bucharest Stock Exchange returns between 2000 and 2011. While we observe the presence of Thursday effect in Romanian equity market, we do not find any traditional Monday or January effect for the entire sample period. Furthermore, we observe the January effect during pre-crisis period. However, the subsample analysis provides very different results, perhaps due to increasing degree of capital market maturity, EU accession and other important events, such as the financial crisis. It follows that the Romanian equity market is reasonably efficient, where prices reflect all publicly available information and no trading rule and market timing can be used to generate abnormal returns.