The Extended Holiday Effect on US capital market

Studies on the financial markets proved that not all calendar anomalies are persistent in time. Some of them experienced various types of changes, including passing from the classical form to an extended one, with an enlarged specific time interval. This paper approaches the Holiday Effect extended form on the United States capital market. In its classical form, the Holiday Effect refers to abnormal stock returns on a trading day before a public holiday and a trading day after. We study the behavior of stocks returns for a time interval that starts four trading days before a public holiday and it ends four trading days after. In this investigation we employ the daily closing values of four important indexes from the United States capital market: Dow Jones Industrial Average, Standard & Poor's 500, Russell 2000 and NASDAQ Composite. In order to capture the changes experienced in time by the Extended Holiday Effect we analyze the returns of these indexes for three periods: January 1990 - December 1999, January 2000 – December 2009 and January 2010 – April 2020. The investigation revealed, for some trading days from the enlarged specific time interval, returns that were, in average, significant larger or smaller than those of the days outside of this interval. We found especially high abnormal returns on four or three trading days before public holidays and low abnormal returns on one or two trading days after public holidays. The results also suggest that the Extended Holiday Effect was more visible in relative quiet periods than in the turbulent ones and it influences especially the stock returns of small cap companies

The Extended Holiday Effect on US capital market

Studies on the financial markets proved that not all calendar anomalies are persistent in time. Some of them experienced various types of changes, including passing from the classical form to an extended one, with an enlarged specific time interval. This paper approaches the Holiday Effect extended form on the United States capital market. In its classical form, the Holiday Effect refers to abnormal stock returns on a trading day before a public holiday and a trading day after. We study the behavior of stocks returns for a time interval that starts four trading days before a public holiday and it ends four trading days after. In this investigation we employ the daily closing values of four important indexes from the United States capital market: Dow Jones Industrial Average, Standard & Poor's 500, Russell 2000 and NASDAQ Composite. In order to capture the changes experienced in time by the Extended Holiday Effect we analyze the returns of these indexes for three periods: January 1990 - December 1999, January 2000 – December 2009 and January 2010 – April 2020. The investigation revealed, for some trading days from the enlarged specific time interval, returns that were, in average, significant larger or smaller than those of the days outside of this interval. We found especially high abnormal returns on four or three trading days before public holidays and low abnormal returns on one or two trading days after public holidays. The results also suggest that the Extended Holiday Effect was more visible in relative quiet periods than in the turbulent ones and it influences especially the stock returns of small cap companies

Impact of the foreign direct investment on Romanian exports

This paper explores the impact of the foreign direct investment on the Romanian exports. We employ cointegration techniques and a Vector Error Correction Model to study the relations between the two variables. We find a significant influence of the foreign direct investment on the exports. Instead, the impact of exports on the foreign direct investment is rather weak.Foreign direct investment, Exports, Cointegration

The extended Friday the 13th Effect in the US stock returns

The classical Friday the 13th Effect refers to a calendar anomaly of financial markets which is generated by the fear of bad luck shared by the superstitious investors. As a result of their behavior, the returns from the supposed unlucky day of Friday the 13th are significant lower than those from the other Fridays. The superstition could also affect the returns from the trading days there are adjacent to Friday the 13th. In order to avoid the bad luck, some investors sell their stocks a trading day before and their transactions lead to a fall of the prices. Those who are reluctant to buy stocks on Friday the 13th delay such transactions to the next trading day causing prices to rise. In time, the knowledge about this pattern could induce significant changes in investors’ behavior, even to those that are not superstitious. Once become aware that one trading day before Friday the 13th the stock prices are usually low, many investors would prefer to sell two or three trading days before. There also were investors that would buy stocks not one trading day after Friday the 13th, when the prices are expected to be high, but two or three trading days after. Other investors could exploit the opportunities to buy cheap on Friday the 13th or one trading day before or to sell high one trading day after and their transactions could attenuate the abnormal returns from these days. In such ways the classical form of Friday the 13th Effect could be replaced by an extended form which consists in abnormal returns for a specific time interval that starts some trading days before the supposed unlucky day and ends some trading days after. This paper explores the behavior of the stock returns of 42 companies, from seven sectors of the United States economy, in the period January 2010 – March 2019, for a time interval that starts three trading days before Friday the 13th and ends three trading days after. The results indicate, for many of them, significant low returns in some trading days before Friday the 13th and/or significant high returns some trading days after. We also found some particularities of the extended Friday the 13th Effect among the seven sectors

Economic development of Comecon countries

In 1949, Soviet Union and some of its satellites created Comecon with the announced goal to facilitate economic cooperation between the socialist countries. The inefficiency of socialist systems affected the performances of Comecon members. However, the analysis of economic development from some of these countries should take into consideration the substantial subsidies received from other Comecon members

Strategic decisions on industrialization: case of Galati Steel Works

The industrialization under a communist regime has some particularities generated by the state ownership, centralized administrative planning and, last but not least, by the communist leaders’ visions on the roles of industries. During the reign of Josef Stalin, who considered that major role in the economy had to be played by the heavy industries, in the Soviet Union there were built large industrial complexes where the former peasants were transformed in industrial workers. His successor, Nikita Khruhschev, who had a different vision on industrialization, assigned increasing roles to the consumer-oriented industries and agriculture. He promoted also the specialization among the economies of Soviet Union and its Eastern European satellites. This new orientation met the opposition of Gheorghe Gheorghiu - Dej, the Romanian communist leader who initiated, since the late 1950s, a gradually emancipation from the Soviet tutelage. An episode of confrontation between the Romanian and Soviet communists on the industrial policies was the 1960 decision of building a gigantic steel mill at Galati, a town from the South – East of Romania where Gheorghiu - Dej spent his youth. Despite the De – Stalinization process launched in the Soviet Union in 1956, the Romanian communists’ initiative followed a Stalinist type of industrialization. Moreover, when the Soviet Government proposed, in the spirit of the division of labor within the socialist camp promoted by Khruhschev, that the new plant should transform in steel the pig iron produced by their industrial complexes, Romanian communists viewed this plan as a threat to the country’s economic development and they rejected it. This paper explores some circumstances of the decision on building of the new steel mill which dramatically changed the economic and social profile of Galati

Economic development of Comecon countries

In 1949, Soviet Union and some of its satellites created Comecon with the announced goal to facilitate economic cooperation between the socialist countries. The inefficiency of socialist systems affected the performances of Comecon members. However, the analysis of economic development from some of these countries should take into consideration the substantial subsidies received from other Comecon members

Buy and sell signals on Bucharest Stock Exchange

Trading rules of the technical analysis are widely used in investing on the capital markets. However, prediction of the financial markets movements based on their past evolutions is in contradiction with the principles of the Efficient Market Hypothesis. In case of the emerging markets, the impact of the development markets evolutions could also be taken into consideration in establishing the trading rules. In this paper we investigate the efficiency of three simple trading rules on Romanian capital market. Two of them, Variable-Length Moving Average and Bollinger Bands, belong to the technical analysis methods, while the third is based on the impact of the shocks from New York Stock Exchange. The results indicate some significant differences between these methods of shocks’ identification

Provocări pentru Finanţele Comportamentale în contextul COVID-19

The recent coronavirus disease 2019 (COVID-19) generated some non-routine problems, characterized by a high degree of uncertainty which makes difficult the solving by the full rational decision making models. In the field of finance, such problems are those associated to the fiscal and monetary policies, that have to fight the recession or to investments in the presence of turbulences on the financial markets. Regarding the fiscal and monetary policies, governments and central banks could be tempted to use the same strategies that were successful in mitigating the effects of the Great Recession from 2007 – 2008, although the recent recession has different causes. In some developed countries there were launched stimulus packages, which allocated impressive financial resources to the economic branches affected by COVID-19. However, as in the case of Great Recession, the complexity of the circumstances made very hard an objective assignment of these resources. For the European Union, a particularity of the strategic solutions to the recent crisis is the fact that many of them are adopted by group decisions, where various interests of the participants have to be conciliated. In many countries, the fall of GDP, the rise of budget deficits and the present low interest rates could impose the choice between a high unemployment and an accelerating inflation. In such decisions, the objectives of governments, usually, very sensitive to the unemployment evolution, could compete with those of the central banks preoccupied by the prices stability. An accelerating inflation could shock the populations from many developed countries which, in the recent past, got used to a comfortable monetary stability. It could also undermine the central banks credibility, leading to distrust in the national currencies. In such situations, the inflation expectations would be no longer a tool for the monetary policies, but an obstacle for their objectives. They could also increase the uncertainty for some financial decisions, modifying the behaviors of various categories of investors, creditors of debtors. In the first quarter of 2020, the news about the COVID-19’s propagation and about the measures meant to help the economies provoked an unusual large number of negative and positive shocks on the developed and emerging capital markets. Such turbulences could be viewed as symptoms of overreactions which occur often in the times of crisis. It is possible, although not easy to prove, that the concern for their own health changed the behavior of some investors. The increased volatility could intimidate many risk-averse investors, but it could also attract some investors who use to take high risks. In some countries, the national currencies depreciated and the volatility of the exchange rates increased. As it happened before in other turbulent times, the gold became an attractive asset for investors. The potential boundaries of the rationality induced by COVID-19 in some decisions such as those regarding fiscal and monetary policies or investments are, somehow, new for the field of the finance. They could be viewed as challenges for the Behavioral Finance which studies the causes of irationality in the financial decision making. However, in the present days, when it is very hard to estimate for how long the COVID-19 pandemic will last, it is also very difficult to predict if such situation would lead to new approaches in the field of the Behavioral Finance

Ajustarea seriilor de timp financiare,Partea întâi

The financial time series smoothing could facilitate the identification of some important characteristics such as the trend, the cyclic or the seasonal pattern. It could be also useful in forecasting the evolutions of some financial variables. In this paper we approach some smoothing techniques, such as the simple or the centered moving average