Abnormal Returns on Bucharest Stock Exchange During the Winter School Vacations

This paper approaches the behavior of stock prices from Bucharest Stock Exchange during winter school vacations from Romania.We employed closing values of five indexes from Bucharest Stock Exchange covering the period December 2012 -January 2023.We found, for all five indexes, high abnormal returns for the time intervals associated to the winter school vacancies.These results could be linked to the optimistic mood induced to investors by the holidays, but also to the fact that winter school vacancies included time intervals specific to some calendar anomalies such as the Turn-of-the-year Effect or the Holiday Effect.