Day-of-the-week effect on Bucharest Stock Exchange in the meteorological seasons
Keywords:
day-of-the-week effect, meteorological seasons, Romanian capital market
Abstract
There are circumstances such as weather, daylight or vacancies that could influence the characteristics of day-of-the-week effect in the meteorological seasons. This paper approaches the daily seasonality of Romanian capital market in the four meteorological seasons. The investigation covers two periods: January 2007 - December 2013 and January 2014 - June 2025. We found, for both periods, there are some particularities of day-of-the-week effect in the four meteorological seasons.
References
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2. Abraham, A. and Ikenberry, D. L., 1994. The individual investor and the weekend effect. Journal of Financial and Quantitative Analysis, 29(2), pp. 263-277.
3. Aggarwal, R. and Rivoli, P., 1989. Seasonal and day‐of‐the‐week effects in four emerging stock markets. Financial review, 24(4), pp. 541-550.
4. Agrawal, A. and Tandon, K., 1994. Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13(1), pp. 83-106.
5. Ajayi, R. A., Mehdian, S. and Perry, M. J., 2004. The day-of-the-week effect in stock returns: further evidence from Eastern European emerging markets. Emerging markets finance and trade, 40(4), pp. 53-62.
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7. Akbalik, M. and Ozkan, N., 2017. Day of the week effect in the stock markets of fragile five countries after 2008 global financial crisis. In Hacioğlu, Ü., & Dinçer, H. (Eds.). Global financial crisis and its ramifications on capital markets, Springer Cham, Berlin, pp. 507-518.
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9. Angelovska, J., 2013. An econometric analysis of market anomaly-day of the week effect on a small emerging market. International Journal of Academic Research in Accounting, Finance and Management Sciences, 3(1), pp. 314-322.
10. Bahcivan, H. and Karahan, C. C., 2022. High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange. International Review of Financial Analysis, 80, 102008.
11. Balaban, E., 1995. Day of the week effects: new evidence from an emerging stock market. Applied economics letters, 2(5), pp. 139-143.
12. Ball, R. and Bowers, J., 1988. Daily seasonals in equity and fixed-interest returns: Australian evidence and tests of plausible hypotheses. In Dimson, E. (Ed.). Stock market anomalies. Cambridge University Press, Cambridge, pp. 74-90.
13. Barone, E., 1990. The Italian stock market: efficiency and calendar anomalies. Journal of Banking & Finance, 14(2-3), pp. 483-510.
14. Basher, S. A. and Sadorsky, P., 2006. Day-of-the-week effects in emerging stock markets. Applied Economics Letters, 13(10), pp. 621-628.
15. Bolek, M., Gniadkowska-Szymańska, A. and Lyroudi, K., 2022. COVID-19 pandemic and day-of-the-week anomaly in Omx markets. Central European Economic Journal, 9(56), pp. 158-177.
16. Bouman, S. and Jacobsen, B., 2002. The Halloween indicator, “sell in May and go away”: Another puzzle. American Economic Review, 92(5), pp. 1618-1635.
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18. Brusa, J., Liu, P. and Schulman, C. (2003). The “reverse” weekend effect: the US market versus international markets. International Review of Financial Analysis, 12(3), pp. 267-286.
19. Chang, E. C., Pinegar, J. M. and Ravichandran, R., 1993. International evidence on the robustness of the day-of-the-week effect. Journal of Financial and Quantitative Analysis, 28(4), pp. 497-513.
20. Chen, G., Kwok, C. C. and Rui, O. M., 2001. The day-of-the-week regularity in the stock markets of China. Journal of Multinational Financial Management, 11(2), pp. 139-163.
21. Choudhry, T., 2000. Day of the week effect in emerging Asian stock markets: evidence from the GARCH model. Applied Financial Economics, 10(3), pp. 235-242.
22. Coakley, J., Kuo, J. M. and Wood, A., 2012. The School’s Out effect: A new seasonal anomaly!. The British Accounting Review, 44(3), pp. 133-143.
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25. Cross, F., 1973. The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), pp. 67-69.
26. Dickey, D.A. and Fuller, W.A., 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), pp. 427-431.
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28. Dimson, E. and Marsh, P., 1999. Murphy's law and market anomalies. The Journal of Portfolio Management, 25(2), pp. 53-69.
29. Doyle, J. R. and Chen, C. H. (2009). The wandering weekday effect in major stock markets. Journal of Banking & Finance, 33(8), pp. 1388-1399.
30. Du Toit, E., Hall, J. H. and Pradhan, R. P. (2018). The day-of-the-week effect: South African stock market indices. African Journal of Economic and Management Studies, 9(2), pp. 197-212.
31. Dubois, M. and Louvet, P., 1996. The day-of-the-week effect: The international evidence. Journal of Banking & Finance, 20(9), pp. 1463-1484.
32. Dumitriu, R. and Stefanescu, R., 2013. DOW effects in returns and in volatility of stock markets during quiet and turbulent times. Proceedings of the 5th International Conference on Economics and Administration, pp. 143-169.
33. Dumitriu, R. and Stefanescu, R., 2025. Daily seasonality of London Stock Exchange Returns in the time intervals associated to the Halloween effect, [online] Available at:
34. Fama, E., 1970. Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, pp. 383–417.
35. French, K. R., 1980. Stock returns and the weekend effect. Journal of Financial Economics, 8(1), pp. 55-69.
36. Gibbons, M. R. and Hess, P., 1981. Day of the week effects and asset returns. Journal of Business, pp. 579-596.
37. Hirshleifer, D., & Shumway, T., 2003. Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), pp. 1009-1032.
38. Holden, K., Thompson, J. and Ruangrit, Y., 2005. The Asian crisis and calendar effects on stock returns in Thailand. European Journal of Operational Research, 163(1), pp. 242-252.
39. Hong, H. and Yu, J., 2009. Gone fishin’: Seasonality in trading activity and asset prices. Journal of Financial Markets, 12(4), pp. 672-702.
40. Jaffe, J. and Westerfield, R., 1985. The week‐end effect in common stock returns: The international evidence. The Journal of Finance, 40(2), pp. 433-454.
41. Kamara, A., 1997. New evidence on the Monday seasonal in stock returns. Journal of Business, 7(1), pp. 3-84.
42. Kamath, R. R., Chakornpipat, R. and Chatrath, A., 1998. Return distributions and the day-of-the-week effects in the stock exchange of Thailand. Journal of Economics and Finance, 22(2), pp. 97-107.
43. Kamstra, M. J., Kramer, L. A. and Levi, M. D., 2003. Winter blues: A SAD stock market cycle. American Economic Review, 93(1), pp. 324-343.
44. Keim, D. B. and Stambaugh, R. F., 1984. A further investigation of the weekend effect in stock returns. The Journal of Finance, 39(3), pp. 819-835.
45. Kohers, G., Kohers, N., Pandey, V. and Kohers, T. J. A. E. L., 2004. The disappearing day-of-the-week effect in the world's largest equity markets. Applied Economics Letters, 11(3), pp. 167-171.
46. Kumar, S., 2017. A review on the evolution of calendar anomalies. Studies in Business and Economics, 12(1), pp. 95-109.
47. Lakonishok, J. and Levi, M.,1982. Weekend effects on stock returns: a note. The Journal of Finance, 37(3), pp. 883-889.
48. Lakonishok, J. and Smidt, S., 1988. Are seasonal anomalies real? A ninety-year perspective. The Review of Financial Studies, 1(4), pp. 403-425.
49. Lim, S. Y. and Chia, R. C. J., 2010. Stock market calendar anomalies: Evidence from ASEAN-5 stock markets. Economics Bulletin, 30(2), pp. 996-1005.
50. Mann, H. B. and Whitney, D. R., 1947. On a test of whether one of two random variables is stochastically larger than the other. The Annals of Mathematical Statistics, pp. 50-60.
51. Marquering, W., Nisser, J. and Valla, T., 2006. Disappearing anomalies: a dynamic analysis of the persistence of anomalies. Applied Financial Economics, 16(4), pp. 291-302.
52. Martikainen, T. and Puttonen, V., 1996. Finnish day-of-the-week effects. Journal of Business Finance & Accounting, 23(7), pp. 1019-1032.
53. McLean, R. D. and Pontiff, J., 2016. Does academic research destroy stock return predictability?. The Journal of Finance, 71(1), pp. 5-32.
54. Mehdian, S. and Perry, M. J., 2001. The reversal of the Monday effect: new evidence from US equity markets. Journal of Business Finance & Accounting, 28(7‐8), pp. 1043-1065.
55. Mills, T. C. and Coutts, J. A., 1995. Calendar effects in the London Stock Exchange FT–SE indices. The European Journal of Finance, 1(1), pp. 79-93.
56. Olson, D., Chou, N. and Mossman, C., 2010. Life cycle of the weekend effect. Journal of Financial Economics, 21, pp. 542-422.
57. Patev, P., Lyroudi, K. and Kanaryan, N. K., 2003. The day of the week effect in the central European transition stock markets. Tsenov Academy of Economics Finance and Credit Working Paper No. 03-06, [online] Available at:
58. Poshakwale, S., 1996. Evidence on weak form efficiency and day of the week effect in the Indian stock market. Finance India, 10(3), pp. 605-616.
59. Raj, M. and Kumari, D., 2006. Day‐of‐the‐week and other market anomalies in the Indian stock market. International Journal of Emerging Markets, 1(3), pp. 235-246.
60. Rogalski, R. J., 1984. New findings regarding day‐of‐the‐week returns over trading and non‐trading periods: a note. The Journal of Finance, 39(5), pp. 1603-1614.
61. Saunders, E. M., 1993. Stock prices and Wall Street weather. The American Economic Review, 83(5), pp. 1337-1345.
62. Schwert, G. W., 2002. Anomalies and Market Efficiency. NBER Working Paper No. 9277, [online] Available at:
63. Shanaev, S. and Ghimire, B., 2021. Efficient scholars: academic attention and the disappearance of anomalies. The European Journal of Finance, 27(3), pp. 278-304.
64. Shiller, R. J., 2003. From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 17(1), pp. 83-104.
65. Smirlock, M. and Starks, L., 1986. Day-of-the-week and intraday effects in stock returns. Journal of Financial Economics, 17(1), pp. 197-210.
66. Solnik, B. and Bousquet, L., 1990. Day-of-the-week effect on the Paris Bourse. Journal of Banking & Finance, 14(2-3), pp. 461-468.
67. Steeley, J. M., 2001. A note on information seasonality and the disappearance of the weekend effect in the UK stock market. Journal of Banking & Finance, 25(10), pp. 1941-1956.
68. Stefanescu, R. and Dumitriu, R., 2024. The Behavior of Stock Returns From Romanian Capital Market During the Meteorological Seasons, [online] Available at:
69. Stefanescu, R. and Dumitriu, R., 2025. Day-of-the-week effect on some European stock markets in time intervals associated with Halloween effect, [online] Available at:
70. Tadepalli, M. S. and Jain, R. K., 2018. Persistence of calendar anomalies: insights and perspectives from literature. American Journal of Business, 33(1/2), pp. 18-60.
71. Tan, R. S. K. and Tat, W. N., 1998. The diminishing calendar anomalies in the stock exchange of Singapore. Applied Financial Economics, 8(2), pp. 119-125.
72. Tong, W., 2000. International evidence on weekend anomalies. Journal of Financial Research, 23(4), pp. 495-522.
73. Vasileiou, E., 2017. Calendar anomalies in stock markets during financial crisis: The S&P 500 case. In Hacioğlu, Ü., & Dinçer, H. (Eds.). Global financial crisis and its ramifications on capital markets, Springer Cham, Berlin, pp. 507-518.
74. Wang, K., Li, Y. and Erickson, J., 1997. A new look at the Monday effect. The Journal of Finance, 52(5), pp. 2171-2186.
75. White, H., 1980. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica: Journal of the Econometric Society, pp. 817-838.
76. Wilcoxon, F., 1945. Individual comparisons by ranking methods. Biometrics Bulletin, 1(6), pp. 80-83.
77. Wong, W. K., Agarwal, A. and Wong, N. T., 2006. The disappearing calendar anomalies in the Singapore stock market. The Lahore Journal of Economics, 11(2), pp. 123-139.
78. Yalcin, Y. and Yycel, E. M., 2006. The day-of-the-week effect on stock-market volatility and return: Evidence from emerging markets. Czech Journal of Economics and Finance (Finance a uver), 56(5-6), pp. 258-277.
79. Zhang, J., Lai, Y. and Lin, J., 2017. The day-of-the-week effects of stock markets in different countries. Finance Research Letters, 20, pp. 47-62.
2. Abraham, A. and Ikenberry, D. L., 1994. The individual investor and the weekend effect. Journal of Financial and Quantitative Analysis, 29(2), pp. 263-277.
3. Aggarwal, R. and Rivoli, P., 1989. Seasonal and day‐of‐the‐week effects in four emerging stock markets. Financial review, 24(4), pp. 541-550.
4. Agrawal, A. and Tandon, K., 1994. Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13(1), pp. 83-106.
5. Ajayi, R. A., Mehdian, S. and Perry, M. J., 2004. The day-of-the-week effect in stock returns: further evidence from Eastern European emerging markets. Emerging markets finance and trade, 40(4), pp. 53-62.
6. Akaike, H., 1974. A new look at the statistical model identification. IEEE transactions on automatic control, 19(6), pp. 716-723.
7. Akbalik, M. and Ozkan, N., 2017. Day of the week effect in the stock markets of fragile five countries after 2008 global financial crisis. In Hacioğlu, Ü., & Dinçer, H. (Eds.). Global financial crisis and its ramifications on capital markets, Springer Cham, Berlin, pp. 507-518.
8. Alexakis, P. and Xanthakis, M., 1995. Day of the week effect on the Greek stock market. Applied Financial Economics, 5(1), pp. 43-50.
9. Angelovska, J., 2013. An econometric analysis of market anomaly-day of the week effect on a small emerging market. International Journal of Academic Research in Accounting, Finance and Management Sciences, 3(1), pp. 314-322.
10. Bahcivan, H. and Karahan, C. C., 2022. High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange. International Review of Financial Analysis, 80, 102008.
11. Balaban, E., 1995. Day of the week effects: new evidence from an emerging stock market. Applied economics letters, 2(5), pp. 139-143.
12. Ball, R. and Bowers, J., 1988. Daily seasonals in equity and fixed-interest returns: Australian evidence and tests of plausible hypotheses. In Dimson, E. (Ed.). Stock market anomalies. Cambridge University Press, Cambridge, pp. 74-90.
13. Barone, E., 1990. The Italian stock market: efficiency and calendar anomalies. Journal of Banking & Finance, 14(2-3), pp. 483-510.
14. Basher, S. A. and Sadorsky, P., 2006. Day-of-the-week effects in emerging stock markets. Applied Economics Letters, 13(10), pp. 621-628.
15. Bolek, M., Gniadkowska-Szymańska, A. and Lyroudi, K., 2022. COVID-19 pandemic and day-of-the-week anomaly in Omx markets. Central European Economic Journal, 9(56), pp. 158-177.
16. Bouman, S. and Jacobsen, B., 2002. The Halloween indicator, “sell in May and go away”: Another puzzle. American Economic Review, 92(5), pp. 1618-1635.
17. Breusch, T. S. and Pagan, A. R., 1979. A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), pp. 1287-1294.
18. Brusa, J., Liu, P. and Schulman, C. (2003). The “reverse” weekend effect: the US market versus international markets. International Review of Financial Analysis, 12(3), pp. 267-286.
19. Chang, E. C., Pinegar, J. M. and Ravichandran, R., 1993. International evidence on the robustness of the day-of-the-week effect. Journal of Financial and Quantitative Analysis, 28(4), pp. 497-513.
20. Chen, G., Kwok, C. C. and Rui, O. M., 2001. The day-of-the-week regularity in the stock markets of China. Journal of Multinational Financial Management, 11(2), pp. 139-163.
21. Choudhry, T., 2000. Day of the week effect in emerging Asian stock markets: evidence from the GARCH model. Applied Financial Economics, 10(3), pp. 235-242.
22. Coakley, J., Kuo, J. M. and Wood, A., 2012. The School’s Out effect: A new seasonal anomaly!. The British Accounting Review, 44(3), pp. 133-143.
23. Condoyanni, L., O'Hanlon, J. and Ward, C. W., 1988. Day of the week effects on stock returns: International evidence. In Dimson, E. (Ed.). Stock market anomalies. Cambridge University Press, Cambridge, pp. 52-63.
24. Connolly, R. A., 1991. A posterior odds analysis of the weekend effect. Journal of Econometrics, 49(1-2), pp. 51-104.
25. Cross, F., 1973. The behavior of stock prices on Fridays and Mondays. Financial Analysts Journal, 29(6), pp. 67-69.
26. Dickey, D.A. and Fuller, W.A., 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), pp. 427-431.
27. Dickey, D.A. and Fuller, W.A., 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, pp. 1057-1072.
28. Dimson, E. and Marsh, P., 1999. Murphy's law and market anomalies. The Journal of Portfolio Management, 25(2), pp. 53-69.
29. Doyle, J. R. and Chen, C. H. (2009). The wandering weekday effect in major stock markets. Journal of Banking & Finance, 33(8), pp. 1388-1399.
30. Du Toit, E., Hall, J. H. and Pradhan, R. P. (2018). The day-of-the-week effect: South African stock market indices. African Journal of Economic and Management Studies, 9(2), pp. 197-212.
31. Dubois, M. and Louvet, P., 1996. The day-of-the-week effect: The international evidence. Journal of Banking & Finance, 20(9), pp. 1463-1484.
32. Dumitriu, R. and Stefanescu, R., 2013. DOW effects in returns and in volatility of stock markets during quiet and turbulent times. Proceedings of the 5th International Conference on Economics and Administration, pp. 143-169.
33. Dumitriu, R. and Stefanescu, R., 2025. Daily seasonality of London Stock Exchange Returns in the time intervals associated to the Halloween effect, [online] Available at:
34. Fama, E., 1970. Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, pp. 383–417.
35. French, K. R., 1980. Stock returns and the weekend effect. Journal of Financial Economics, 8(1), pp. 55-69.
36. Gibbons, M. R. and Hess, P., 1981. Day of the week effects and asset returns. Journal of Business, pp. 579-596.
37. Hirshleifer, D., & Shumway, T., 2003. Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), pp. 1009-1032.
38. Holden, K., Thompson, J. and Ruangrit, Y., 2005. The Asian crisis and calendar effects on stock returns in Thailand. European Journal of Operational Research, 163(1), pp. 242-252.
39. Hong, H. and Yu, J., 2009. Gone fishin’: Seasonality in trading activity and asset prices. Journal of Financial Markets, 12(4), pp. 672-702.
40. Jaffe, J. and Westerfield, R., 1985. The week‐end effect in common stock returns: The international evidence. The Journal of Finance, 40(2), pp. 433-454.
41. Kamara, A., 1997. New evidence on the Monday seasonal in stock returns. Journal of Business, 7(1), pp. 3-84.
42. Kamath, R. R., Chakornpipat, R. and Chatrath, A., 1998. Return distributions and the day-of-the-week effects in the stock exchange of Thailand. Journal of Economics and Finance, 22(2), pp. 97-107.
43. Kamstra, M. J., Kramer, L. A. and Levi, M. D., 2003. Winter blues: A SAD stock market cycle. American Economic Review, 93(1), pp. 324-343.
44. Keim, D. B. and Stambaugh, R. F., 1984. A further investigation of the weekend effect in stock returns. The Journal of Finance, 39(3), pp. 819-835.
45. Kohers, G., Kohers, N., Pandey, V. and Kohers, T. J. A. E. L., 2004. The disappearing day-of-the-week effect in the world's largest equity markets. Applied Economics Letters, 11(3), pp. 167-171.
46. Kumar, S., 2017. A review on the evolution of calendar anomalies. Studies in Business and Economics, 12(1), pp. 95-109.
47. Lakonishok, J. and Levi, M.,1982. Weekend effects on stock returns: a note. The Journal of Finance, 37(3), pp. 883-889.
48. Lakonishok, J. and Smidt, S., 1988. Are seasonal anomalies real? A ninety-year perspective. The Review of Financial Studies, 1(4), pp. 403-425.
49. Lim, S. Y. and Chia, R. C. J., 2010. Stock market calendar anomalies: Evidence from ASEAN-5 stock markets. Economics Bulletin, 30(2), pp. 996-1005.
50. Mann, H. B. and Whitney, D. R., 1947. On a test of whether one of two random variables is stochastically larger than the other. The Annals of Mathematical Statistics, pp. 50-60.
51. Marquering, W., Nisser, J. and Valla, T., 2006. Disappearing anomalies: a dynamic analysis of the persistence of anomalies. Applied Financial Economics, 16(4), pp. 291-302.
52. Martikainen, T. and Puttonen, V., 1996. Finnish day-of-the-week effects. Journal of Business Finance & Accounting, 23(7), pp. 1019-1032.
53. McLean, R. D. and Pontiff, J., 2016. Does academic research destroy stock return predictability?. The Journal of Finance, 71(1), pp. 5-32.
54. Mehdian, S. and Perry, M. J., 2001. The reversal of the Monday effect: new evidence from US equity markets. Journal of Business Finance & Accounting, 28(7‐8), pp. 1043-1065.
55. Mills, T. C. and Coutts, J. A., 1995. Calendar effects in the London Stock Exchange FT–SE indices. The European Journal of Finance, 1(1), pp. 79-93.
56. Olson, D., Chou, N. and Mossman, C., 2010. Life cycle of the weekend effect. Journal of Financial Economics, 21, pp. 542-422.
57. Patev, P., Lyroudi, K. and Kanaryan, N. K., 2003. The day of the week effect in the central European transition stock markets. Tsenov Academy of Economics Finance and Credit Working Paper No. 03-06, [online] Available at:
58. Poshakwale, S., 1996. Evidence on weak form efficiency and day of the week effect in the Indian stock market. Finance India, 10(3), pp. 605-616.
59. Raj, M. and Kumari, D., 2006. Day‐of‐the‐week and other market anomalies in the Indian stock market. International Journal of Emerging Markets, 1(3), pp. 235-246.
60. Rogalski, R. J., 1984. New findings regarding day‐of‐the‐week returns over trading and non‐trading periods: a note. The Journal of Finance, 39(5), pp. 1603-1614.
61. Saunders, E. M., 1993. Stock prices and Wall Street weather. The American Economic Review, 83(5), pp. 1337-1345.
62. Schwert, G. W., 2002. Anomalies and Market Efficiency. NBER Working Paper No. 9277, [online] Available at:
63. Shanaev, S. and Ghimire, B., 2021. Efficient scholars: academic attention and the disappearance of anomalies. The European Journal of Finance, 27(3), pp. 278-304.
64. Shiller, R. J., 2003. From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 17(1), pp. 83-104.
65. Smirlock, M. and Starks, L., 1986. Day-of-the-week and intraday effects in stock returns. Journal of Financial Economics, 17(1), pp. 197-210.
66. Solnik, B. and Bousquet, L., 1990. Day-of-the-week effect on the Paris Bourse. Journal of Banking & Finance, 14(2-3), pp. 461-468.
67. Steeley, J. M., 2001. A note on information seasonality and the disappearance of the weekend effect in the UK stock market. Journal of Banking & Finance, 25(10), pp. 1941-1956.
68. Stefanescu, R. and Dumitriu, R., 2024. The Behavior of Stock Returns From Romanian Capital Market During the Meteorological Seasons, [online] Available at:
69. Stefanescu, R. and Dumitriu, R., 2025. Day-of-the-week effect on some European stock markets in time intervals associated with Halloween effect, [online] Available at:
70. Tadepalli, M. S. and Jain, R. K., 2018. Persistence of calendar anomalies: insights and perspectives from literature. American Journal of Business, 33(1/2), pp. 18-60.
71. Tan, R. S. K. and Tat, W. N., 1998. The diminishing calendar anomalies in the stock exchange of Singapore. Applied Financial Economics, 8(2), pp. 119-125.
72. Tong, W., 2000. International evidence on weekend anomalies. Journal of Financial Research, 23(4), pp. 495-522.
73. Vasileiou, E., 2017. Calendar anomalies in stock markets during financial crisis: The S&P 500 case. In Hacioğlu, Ü., & Dinçer, H. (Eds.). Global financial crisis and its ramifications on capital markets, Springer Cham, Berlin, pp. 507-518.
74. Wang, K., Li, Y. and Erickson, J., 1997. A new look at the Monday effect. The Journal of Finance, 52(5), pp. 2171-2186.
75. White, H., 1980. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica: Journal of the Econometric Society, pp. 817-838.
76. Wilcoxon, F., 1945. Individual comparisons by ranking methods. Biometrics Bulletin, 1(6), pp. 80-83.
77. Wong, W. K., Agarwal, A. and Wong, N. T., 2006. The disappearing calendar anomalies in the Singapore stock market. The Lahore Journal of Economics, 11(2), pp. 123-139.
78. Yalcin, Y. and Yycel, E. M., 2006. The day-of-the-week effect on stock-market volatility and return: Evidence from emerging markets. Czech Journal of Economics and Finance (Finance a uver), 56(5-6), pp. 258-277.
79. Zhang, J., Lai, Y. and Lin, J., 2017. The day-of-the-week effects of stock markets in different countries. Finance Research Letters, 20, pp. 47-62.
Published
2026-01-19
How to Cite
Dumitriu, R., & Stefanescu, R. (2026). Day-of-the-week effect on Bucharest Stock Exchange in the meteorological seasons. Vanguard Scientific Instruments in Management, 22(1), 5-23. Retrieved from https://vsim-journal.info/index.php?journal=vsim&page=article&op=view&path[]=563
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