Is the January Effect Present on the Romanian Capital Market?

The January effect implies that small firms experience large returns in January and exceptionally large returns during the first few trading days of January. This paper examines the January effect pattern on the Romanian stock market. The observation period was divided into sub–periods: January 2003 – December 2007 (before crisis) and January 2008 – December 2010 (during crisis). We found that the January effect occurs before the financial crisis, but during the crisis the effect had been observed as being present only for the third portfolio (which contains the companies that have the smallest capitalization value). The observation of this effect can help the investors to establish a profitable investment strategy.