Intramonthly Anomalies on the Bucharest Stock Exchange

This paper studies the presence of intra-month effects on the Bucharest Stock Exchange in the period 2005-2014, by taking into account the daily evolution of the BET Composite Index. The presence of these anomalies can prove useful for investors in their attempt to find the most successful strategies. Academics can also benefit, as the results obtained offer insight to the level of market efficiency of this capital market. The results showed that the semi-monthly effect is not present on the market. However, the turn-of-the-month effect is present.