How does the Size Effect Influence the Romanian Investors’ Strategy?

Balint, Cristina

doi:10.1016/s2212-5671(12)00220-1

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Firm-size Anomalies1

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2017

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“…The negative correlation among the firm size and average returns (Banz 1981;Keim, 1983;Balint, (2012).…”

Section: Firm-size Anomaliesmentioning

confidence: 99%

The Day of the Week Effect in Borsa Istanbul: A Garch Model Analysis

Öncü

Ünal

DEMİREL

2017

ijmeb

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The aim of this study is to investigate the Day of the Week Effect (DWE) in Borsa Istanbul BIST-100 Index. For this purpose, a dataset of closing prices of the firms was gathered from January 03.2005 to November 06.2015. The data were transformed to return series by taking logarithmic differences, and analyzed with GARCH (1,1) Model. According to the findings, although the coefficients representing the returns of Monday and Thursday are statistically significant, the returns of the trading days of the week are equal. Consequently, for the related period, DWE was not detected in BIST-100 Index.

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“…The negative correlation among the firm size and average returns (Banz 1981;Keim, 1983;Balint, (2012).…”

Section: Firm-size Anomaliesmentioning

confidence: 99%