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Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets

Author

Listed:
  • Dan Gabriel ANGHEL

    (Institute for Economic Forecasting, Romanian Academy. Corresponding author.)

  • Elena Valentina ŢILICĂ

    (Faculty of Finance and Banking, The Bucharest University of Economic Studies)

  • Victor DRAGOTĂ

    (Center of Financial and Monetary Research (CEFIMO), The Bucharest University of Economic Studies.)

Abstract
Intraday patterns in returns are well documented on the developed stock markets, but are less studied for the developing ones. Using a new tick-by-tick data sample, we provide evidence that intraday trading patterns are present on the Romanian and Bulgarian postcommunist frontier markets. Similar to other capital markets, intraday returns follow a ωpattern, although the magnitude is different. Some intraday effects are robust, while others have disappeared over time. The detected patterns can be associated with liquidity risk and market price manipulation, but cannot be used by investors to obtain systematic abnormal earnings.

Suggested Citation

  • Dan Gabriel ANGHEL & Elena Valentina ŢILICĂ & Victor DRAGOTĂ, 2020. "Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 92-114, July.
    • Handle: RePEc:rjr:romjef:v::y:2020:i:2:p:92-114
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    File URL: http://www.ipe.ro/rjef/rjef2_20/rjef2_2020p92-114.pdf
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    References listed on IDEAS

    as
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    Cited by:

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    2. Dragos HURU & Ioana MANAFI & Ionut PANDELICA & Marilena Carmen UZLAU, 2022. "Nonlinear Dependencies between Green Bonds and General Financial Market Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 169-181, December.

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    More about this item

    Keywords

    intraday patterns; returns; investor behavior; frontier markets; efficient market hypothesis; Romania; Bulgaria;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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