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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| Format: | Article |
| Language: | English |
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Faculty of Economic Sciences, Hyperion University, Bucharest, Romania
2013-03-01
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| Series: | Hyperion Economic Journal |
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| Online Access: | http://hej.hyperion.ro/articles/1(1)_2013/HEJ%20nr1(1)_2013_Panait.pdf |