Persistence in time of the prolonged holiday effects on Bucharest Stock Exchange

Many calendar anomalies of financial assets are sensitive to the markets’ turbulences. This paper approaches the changes that occurred in the Romanian capital market with three calendar anomalies that belong to the category of prolonged holiday effects: Gone Fishin’ Effect, School - Out Effect and Halloween Effect. We employ the daily values of three main indexes of Bucharest Stock Exchange from two periods: September 2012 – December 2017 and January 2018 – April 2022. The first one was affected by the European Debt Crisis and by some domestic political tensions. During the second one the threaten of a commercial war between USA and China, the COVID-19 pandemic, the 2021–2022 global energy crisis and the 2022 Russian invasion of Ukraine induced substantial turbulences. For the first period we identify the presence of Gone Fishin’ Effect and School - Out Effect on the returns of one index. In the case of second period we found the School - Out Effect for the returns of all three indexes.