The month-of-the-year effect on Bucharest Stock Exchange

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The month-of-the-year effect on Bucharest Stock Exchange

This study investigates the presence of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly returns for five Romanian official exchange indices and for on...

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Sonraí bibleagrafaíochta
Príomhchruthaitheoir:	Iulian Panait
Formáid:	Alt
Teanga:	Béarla
Foilsithe / Cruthaithe:	Faculty of Economic Sciences, Hyperion University, Bucharest 2013-03-01
Sraith:	Hyperion Economic Journal
Ábhair:	stock returns volatility seasonal anomalies frontier markets GARCH models
Rochtain ar líne:	http://hej.hyperion.ro/articles/1(1)_2013/HEJ%20nr1(1)_2013_Panait.pdf
Clibeanna:	Cuir clib leis Níl clibeanna ann, Bí ar an gcéad duine le clib a chur leis an taifead seo!

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