Prolonged Holiday Effects on Romanian Capital Market before and After the Adhesion to EU

Abstract

The adhesion to the European Union represented a turning point for the Romanian capital market. Before the adhesion Bucharest Stock Exchange experienced a relatively quiet period which lasted for many years. Instead, after Romania had became member of the European Union the capital market experienced a turbulent period. After the months of optimism induced by the adhesion, Bucharest Stock Exchange was affected by the crisis from the international financial markets and the share prices dropped dramatically. In these circumstances investors’ behaviors changed affecting the seasonality of shares prices. In this paper we investigate the changes occurred for three types of seasonality which are included in the category of prolonged holiday calendar anomalies: Halloween Effect, Gone Fishin’ Effect and School out Effect. We employ daily values of five indexes from Bucharest Stock Exchange. We find that all of them were presented on the Bucharest Stock Exchange before the adhesion, but for some indexes the results indicate reversed forms of prolonged holiday effects. After the adhesion, the Gone Fishin’ Effect and the School out Effect disappeared while the Halloween Effect decreased in intensity. We conclude that turbulent times are not favorable for these calendar anomalies.