Electronic copy available at: http://ssrn.com/abstract=2002303. The SAD Cycle for the Bucharest Stock Exchange. STEFANESCU Razvan, DUM ITRIU Ram ona.
! !
"
! "# $%&')(* +, -)(. %/1032'4%56%7 8 9;:8 ?9'*6@*A297=9),- +79CB*D*+26EFGHI5JFLK4M N1O P QRQSP RT!S)UP VP VCWX Y(Z[\]#[\[0X Y ^4_`^a b c$dfege)a dih4jkllm lnopq(qrs tuvxwyzu|{yiu} ~!?((0
(y?z)( {y4{{#${CyL0# w&vxuy{z u} {
w
# )u
yLuyy{z
w'4 ¡¢(1£)¤?¥(£¦&§ £) ¨©4ª ¤x ¤« ¦& §¬£)¤ « ® ¯(¤ °§¤ ±'¤£²ª ¥(£' §%³«° ® ´ª(µ(¶ ª ¤ °?¥³(® ¤³4ª¤·¤¯( ¥® ¦ § ¸ ¹ º(» ¼»½¾ ¿)ÀÁÃÂÅÄÆ ÇÈÉËÊÌÍÌÎÏÐ%Ê ÑxÎÒÎÓ(Ð%Ô ÕÖ ÌÍÖ ÓÐ×ÎÕ)ØxÍÓ(ÙÐÚÍÓÍÒ(ÍÐÜÛ¬ÎÑÞÝÎÍß ÍÓÒÐáàÍâÍÓ(ÐÅãä(ÏÌ?ÕÍß Ö ÍÍÓ Ò åæçè4éêë ìí#îï ðáñ ò óôò óõö ÷ò#ô(öóøöùxò óúñ û÷üý'üñ%þ4ÿ ö "!# $%"& %('*)+",- && .,0/1!2
34657895 4:7;:8-=@? ;A8B7CD5>E46F(GIHJ@K*LMON(PRQ1LSUT VW XYW V:SZ[YB\W>]_^ T\@Y` W ]_a b-cedgf hUi_j k k lm6nAop_q rts6u vw xy@u z:u x{}|~u v :
*_ g
Be->}@}( }_} B
@[@
}*-R_
Ae1_
@_6(A} (
AOU 1 (¡6¢£ (:¤_¥¦¡6¥§§¨ }©"ª «_§¥¤¬@®g¯B°¥1¤*¨ ¢±¨ ©_¨ §6°_¨ ©_²1° («*¡A§e (:¤@ ®}³ ¨ ²°@¯>¤*«_¡A¨ ©²¯-°¥1³ ³R ©¤~´¨ ©@¯9¥¡¢~ }©@¯B°_§µ ¶*· ¸¹ º*»¹¼A½¹¾¿À Á ÂOÃ(Ä_Ä_Å(Æ:Ç_È@É6Ê_Ë~Ì Í@Î9ÌÏeÐ[ÑAÎOÒ6Ó(Í_Ô[ÒÌÕ ÐÎOÖ Ó(Í_Ñ6×_Ö ØÚÙÌÎÜÛ±ÌÌ ÍeÝ-Þß>à_áâã6á ääå æ}ç1è çàé-êëìAí î6ïeð ñÜñOí ñOò_ó_ôõ ö÷ ø6ø6ùú-úùú÷ û ü@ýBþ*ÿ_ÿ } ù Aú9 ù 1ú ÷úù !"$#&%(')* +,(* - ./*102304$5 687:9; ?10$>7$9> @@2 ;C4 D EGFCH$IKJL:MKN O$PCQ R&SUTV&RXWN SZYTC[\3]1^ _3_`Q Y&S!N O$R&SUQ ^ ]?SaZQN V8b:V(T bZQO:RN ScdSUTeV&N R(fR/g hCi?j k:lnm oqpsr$ttCuv8w3xCoy:lnz/{C| l:zy!}z ~ $1! s
$ !( d $ C&s ! &C&q & ¡¢£¤ s¥:¤¡$ (( ¦/§©¨Cª¬« ®C¯ ° ± ²³U´8µ ¨¶·©¸&³s¹$«° · ¸ º(»/¼» ½ ¾3» ¿À$½ ºÁsÂ3Ã(ľ ½ º& ÁU » ÅÇÆÈÊÉËÌ
» È3È`» ÃXÁ¬¿Äº( Í$ÎÏÁsÐ!»½ ÄCÁsÄ$ÑGÍ©Ò Ó¤ÔÕCÖq×$Ø Ù&Ú Û/ÜCÝ ÞÇß àsáâã!äÇåÏæ çèUé ê1ëìíCî/ï$ð èåÏì î ñòó!ô õsñ:ö ÷ø ù ö úGõsñ:ûüý þ¤ÿ üGþ !!"!# $&%'()+*, -&.0/1325467138294:;/67/ 294?63, 17@?ABhi]7j3g+h[BkH_l&bmT[!a \ba k;a j7ibeLa noi^jQep_k qrsBtBu+v>wu+vx y!z{+|} ~9} z{!{7} {
>+y7 z|3&+7
y7} &} ~9~} z{
!~Qy7 z{T+Q533 >^ 0 0¡£¢¤¦¥ §3¨3©&ª «¥ ¬H« ®+¯°±&²³´µ¶·&¸&¸¹º°^²®¯&»¼3½3¶Z¾0¿¿¹0º0ÀÁ^ÂpÁÃÄpÅÆÇ ÈÉÊÊ+Ë^Ì3Í Î ÏUÐÑÒ ÓLÔ&ÕÔÖ×ØÖ Ò ÏÙÖÓ3ÐÒ Ú^ÕÐ9ÖÛÐÑÖ Ü>ÝßÞàá áàâQãåä+æ7çèçéê>ç ë0éíìîïBðòñ0óUôõ&ö ôõ÷7ôø&ö ù9ôúóíô^ûQüýù9þÿ ù5ýûLô ö ;ö ÷ ú ù
"!$# %&(')+*,-,./# 01/2# %& 3$45) 678-(1/9:);2() ?@&+3A&+*;#>)+3?& 3/,$,7'>B;C"D@EFFG"BIH"B+J K C$C$K C$J L5M NOO$OPQSRTUWV+XY V+Z P[V(\]^;P>Y T5X`_Tbacdfeg$hi(jk+l mon:m$p i5mqp mor$ss$tul;vwvh l(xyvk z`{l |>|p }k~p m i |[i/i/hk;p (m
+ @"$ ;/ W@w5>(A" ¢¡ £¤/¥ ¦§$¨ ©¥ª;¡ ª«/¤5¬ £7© ¤®¯5°+© ®¥ª@±$²²³5´(£µª¢¶(¬ ¤5·$¸+¬"¥>¨ © ¡>© ¡S¸(¹¹ºª ¥ £7ª » ¼½(¾À¿>Á+Â$Ã>Ä ÅÆÁÇWÁ>ȺÉÊ¢Ë$Ì(¿ Í Ä Å"Ì Î(Ï"ÐÑ;Ò>Ñ+ÓºÔÕ>Ö@×Ö@ØÙ+ÚÖÛ ÜØ7ÔÞÝÔ5Ü$ß>Û àÖ+ÕÙØ7Û ÔÜÞØá"Öâ"Ô5ß>ß>Û ãÛ ä Û ØåWØáÙØSÝ>Õ Û ßÛ ß¢Û Üàæ$ÝÖ à ç è$é ê$ë5ì+íïî ê¢ðè"ìñòóÞì+ô ôwì çyðõ
ö"÷øùø+ú ûýüþÿû÷ úø ù úüù ;ø +úþü üúö"÷øúø>ü (ùû ø;ú>ù ø+ú¢û÷ø û øû÷ü! ü ü!"
#%$'&( )+*!#,.-)./#%0#1(-32#45768#9 9:#;@?A4BC%D2#E-32F / ,G&1/78?!$,@*BA%C>DE FGD HI J # ! '(
b c ef d {d|}~ 9 ;
0 3 K1L M N O P Q!RP S!LMR/T RP MRPN MUVW,XY,Z%[>\] ^_"\`a
g!h gijik!" l"m ) !
!" ! 8
(
n!o pq#3 rqs" n ) ! !"! / !¡!¢ £¤"¥!¦
t%u!'v u!w"x8#3 w"yz8w " ) ! !"! §¨©!ª ¨¨!«!¬
Electronic copy available at: http://ssrn.com/abstract=2002303
9® ¯° ±;²"± Ä Å/ÆÇÈÉ Ê!Ç ÝÞß à9á"ßââ ø8ù8úüû!ýþ5ÿ
³!´µ ¶·´¸ Ë8Ì Í"Î!ÏÏ!Ð ã%äå æ!ä!çæè"é
¹8º »»»¼!½ 8Ñ Ò ÓÔÕÔ!Ó ê%ëì íî!íïðë
¾!¿À Á¿à !Ö × ØÙÚ8Û"Ü ñò!ó ôõòö!ò÷
! " #%$'&)(%*,+.-/(10,2
34 4 5 6 78
9::; < ==
>> ? ? @ A
BDC E F1G HIKJMLN OPQ!R S T%U'V)W%X,Y.Z/W1[,\
]^ ]]]] ] _
` a ` ``` ` b
c d ccc cc e
fhgji%k iKl mnKg%oqp'rgts,pi1pu vk iw,u p'mxvy{z}| ~}'x
,j
%K K ' K /1¡!¢¡£.¤D¥%¡1K¦¨§©x¢'ªD «%¬,%®¯° ±!%²¬³®D¬³1´³Kµ ¶K¶° ·µ¸{³º¹´³%»¼±·µ ´,¶%µ ¶½K´¾»³¶¿³K¬!Àº° µ ° ´,¶° ±Á¶¿³K¬!À ÃD¯)³{µ¹À{ij%¬Å·Æ² %«%´Ç¸{K´{È,ÉDÊËÌKÍ Î%ÏÏÐ Ñ!Ò Ó ÔÕ×Ö¿ÐØ'Ù)ÚÛÜÝKÞ Ü ßàá âäãå,æÝçÞ ãáéè å,Þ ç¿ßKå!Þ ãáê)ëDìDß×åßKíî ï çí,ðñ òóKôóKõ ö¿ó%÷ùø õùö'úDó¼û}üKýþó
!#"%$!&('))*$,+ -.)*/0)' + 1325476
#
ÿ ø õ÷ ø üöó
öú ü1ö
/ 3 8:9;,;%?@A% 9FHGI J K(97L3M!NO3P P QR:STQU V,UWXRYTZ3S:[!\^]_7` a5] b c
! '(
")
de5fhg#ijk3lnm opq w:xy z(y z {z,| y z | }
r s ~ 35(5
% nh5 (
¡5¢ ¡5¡5¡ ¡5¡ £
(
#3
t t 5 (55
")
¤3¥ ¤ ¤5¤5¤5¤(¦
'
#3
u v 3 ( #3(
")
§3¨ § §5§5§5§(©
ª¬«®3¯ °±5²,³ ´ µ·¶!¸(¹»º7¼½º7¾¿ ½À%½Á Á¼ÂÄÃ,Å Æ5¼®Ç3Å º7¾nÈÇ5¼ÈhÉÊ ËÉ Ì ÍÏÎ Ð ÑÒ(ÉÓÎhÔ5Õ®Ö,×#ػ٠Ú5ÛhÜ#ÝÞhßàá(â ãä3åçæ(èné ê ëÏì5íî ï ðDñ,ò(ó
G%H2I JKL M2N
!"#$%"& $ '( )*+ #&,- (. " / ,0 '/ 12,3 ,045 67985: ;=#? @ACBED*F
ô.õö,÷(ø3ùûúü5ü(ý þÿù
O P2Q RTS0U VUXW%YZ [ \ ]_^5` acbed2b f ` b5gh%ifi$j0fi$a$i5k_l` kmelEnoipkqrg0i ftsuvln*iwb5xl*` kyln*icxi5b fz {2|2}*~*X|2}~E0 }
p o$}#~Eop0 }t|20|0} X|220 v_~!t p#$% ' y9 2¡ ¢¤£¥ ¦_§ λt = 0.4102 ∗ sin
2π ( juliant − 80.25) 365
H t = 24 − 7.72 ∗ ar cos − tan(
2πδ ) tan(λt ) 360
¨©ª
«T¬0 ®¯±° ²³¬*e´ µ$³° ³¶0·¸¹«e¶0²cº »¼½ ¼¾¿ÀÁÂ_ÃÃÄcÁ2Å'ÆÇÈÉ5ÊÅ#É É5ËXÂ%Á_ÅXÌ*Í0Î ÇÏvÅ#É$Ë ÆÐ Ñ Ò*Ó0ÔÖÕ× Ø5ÓÙ*Ú Ô5ÕØ5ÙEÓÛ9ÜÝ!ÙÓ*ÔeÚ Þ$Ù× ÙßàÔÖÜ2Û_ááâcÜ2Ý'ÙEÓàÔ5ØÝÔ Ô5ãpÝ#Ô$Þä Ó0Ô5ãpÞåÞ$æ× åßåçÜÛ*èé2ê ë0è_ìyÓ*Ü2ßÝ ãp× ÕíÙEÓ0Ôeîí× Õ_ÙÔ Ý ïðvñ ò óô%õ#öe÷ ø0ùú÷Öûô ø0ô ûüûýðþ_ÿ ðü òcô øyó öeò#üûû= ö tòðvñ òóô õö 2ô vü #ö !#"$% & ')($*+-, .$/103254#6#7$89$4;: =@?A B#?CDEB FB G&GHAJILK M NAOM ?CQPOA PROSPM DT@KVUWA@G&B F FB#DEOYXVZ>[\^] _`1a#b c&d)e^fgQhi$j ke%l@mVnEo%mqp&o r r>im oJlsm itghumVnEe^p o r r-e vwj hEg#xyo#hEkuz {;| }#~ ~Y1 | EY
) s%J 1 $Qt YVWY^ 1# #s q3 >q) 1 ¡¢ &£$#E¤3¥ ¦E§ ¨ ©ª ©;«¬ª § ª ®E¯@©$°± ¬²³¯J´« ¬EµJ¶#·¸¹>® ©»º¨#± ¨ ¼§&¯@±¯ °±$¯#©¯%¬ª ©¡ªV®>¯§ ¯%¬E²%ª ®)µQ½ ¾V¿EÀYÁ à ¿¾¡Â Áy¾ ¿EÀ³Ä&Å%Æ ÆÅ#ÁEÇyÈ ÉyÊVË>ÌÍ^Î ÏÐ1Ñ#ÒÒÑ%Ó Ô%Ð Î ÕÑÐ1Ö3ÐV×>ѳØuÑ#Ô ÏÙÔ#ÏÏÚÔ%ÓÓ Ñ ÏÛ ÐV×uÜ$ÖQÏÝ$Î ÞEÑ%Ò$Ñ#Þ)Ð1Ötß>ÑYÖà»áâ^×EÖQÚÒÝã äå³æçèWéê1ë%ìEí%î»ï ð>ñ;òó ô õ>ñ@öQ÷ø ùRú û üýQþ-ÿ
"!$# #&% (' )*+ ,.-0/ 12 3$4(5$1 67834:9;9$2=< 384>-0/ ?@3$A BDCE F>GHE IJF:CKC$L8M EN CPO@Q"RSC8TTUC$V>EWGXC8YHZM IG[ \]PLPF:C8]$F:C8^:^@[ I\_[ \X`aN[VbNdcef gih=j k0lkm k8n lk8nhop8qbf p8rsk0p8n l t:u"vxw8y z{| }i{&~= }y | } }8| }$|
$by
8 }z@b}"
$ z@{z@}y |=y z:8: &HH&b $ 8b@: 8¡ ¢ £>¤=¥ ¦§¤¨ © ªH« ¬$>®¯°i®=± ²´³µ ¯¶¬$µ·b© ¸:© ¸¹¬$º »®=± ²´« ¬$·¼® © ½µ ¬·b© ®=© ²8¸¾¯&°a¿@À"Á²°°U²>®H»½·b© º ³´®=± ²d°¬8µ µ ÃÅı© ¸_·²8³&·²¸:¸:© ¯&ºÆ© ¸ ÇÈ@É Ç:ÈÊ@È8ËÌ ÈÍÎÏ;È$ÐÑÒÌ=Ó ÔËxÕ Ö×Ø.Ù ÚÛ"Ü Ý Þ@ß"àxá$â.ã äå8æ"ççè$é"ê ëìíxîðïîUï@ñòóbô
øaù ú$ûúü
õðö÷
-
!#" $&%' &()%'*#"+, - &#" !() + /.0% ý$þ"ÿÿ 12#3 4576&8 94:
-
; C&kmDF GHI K Ds tmLlB Du MN@O&P7DQB R S P#T O KDN G OIUR OIV@U LWP,T$O&P7LDEB R S/EDJC&DV P7XYZ[\ ]^_` a7_bc _d e ff =@?'g=@?hAi B j! ln-E o op#H q lJF n7r
v w&x,y z|{0}~mW} {- 0m
},@ $00~-}~,@{ #! , & &,}>00~0~0 '& |~m|} 7'00~0~0 - >m-, I
& #( '"
"' "'
!"
#
%$& !
/ 3 ¡&'¢'#£ ¤¦¥§¨| ¤¡©,£&§¡ ¥W,£ ¤ª¡ ©£ $ ¤¡©,£&¥« ¡©¦§ª¨¤§«
( 42 ")( (
¬®°¯-±²@¯-³ ² ±´7Iµ#¶ ¹ · ¸º»¼0½¾ ¿À,¾ Á º/»ÀÂÀ,¾ »À,¾@¼-» Ã@Ľ!ÀÆÅÄÇ»ºÂ»mÄ'È »É$Ã@ÂÊ Ê Ë ÌÍ ÎÏÐÑÒÎ$ÓÕÔ-Ö ÑÍ Î×'Ø)Ù0ÚÛ ÛIÜÝ-Þ ß$à ÜFÝ0ÜÙ0Ú á â,Ùã äå-æçæè é7æêFë èFì#í î!ñ ï ðòó@ôõö÷ ø$ù ÷ ú0ðmûôùIû#ü$ðmûªý)þÿWðó ó "!# %$ !& '( !#)+*,(.-0/ / 1.2"3 45%67
8"90:#;=< > ? ? ;0:@ABCD@AEFG;IH.: EJKF#L :> C ?+MON PQRQTSU#V #
xy0z{|[! }'( ~Gy[| | .
" £"¤0¥¦ §¨ ¼"½ ¾ ½ ¿RÀ¿ ÓÕÔGÖ+× ØRÙ Ø ë[ì%í î ïYð[ñî )*,+.-/021435 6 5 GHJI KLMONPQ'RTS I UWVXZY[\[^]Z_ `aZbZc vwJxy zZ{ \ §©¨«ª,¬ \® ÁÂ4ÃÄ ÅÇÆÈÄ ØÙÚ ÛÜ ÚÝ Ý óô,õ.ö÷ø2ù4úû ü û
4 3 WYX[Z[\#]#^ _`^ aXIZ`%b[`^ Z`^.\#Zdc+efhgihjkDl mGnolp qYr.slhntmdnu"svq[m[w0qGs+pq ")
(
#3
")
'
#3
©ª ««© ¬ ® ÁÂÃÄ ÂÂÅÆ ÚÛÜ ÝÞÛß òó ô+õôö÷ 78 9:; M N 9PORQ;S9TU;V;>W X YZ\[ YV]^S_`
# 6
(
#3 ")
! "#%$&(' kl mn onp q rs rrrrrt/u
'
#3
")
* + ,-/.%* 0 1 ) 2 3 24256(7 vw xzy { x%v | } ~ }}}
5 3 F>
H
(H/>
/D/FHz (
\(U
( #
( (
'2
? °±²F³ ÌÍÎÎVÏ ìíïî ð/î ðñ
/ ¡¡¢ ´ µ ´¶ ·¸ ·¹zº ÐÑÒ Ó Ñ ÔzÕÖ× òóô õ ö÷õ öø
£ ¤ £¥£¦¥ » ¼ »½ ¾¾¿ÀÁ Ø Ù ØÚ ÛØÜÝÛ ùú ùû ü ýýý
456 78:9úû>ü ýáþ[ÿþ ÿ ! " "# $"&%')(*,+-.+(0/ 1 32-1 " "# %' /-4,/654798:);8
= +"
E " "* -- 2''032'5&
6 4@3;1
+
= +
*
9 "$
"
$
H
" + .6 - " A
+
. " &(" --
= 6
9 ;5%()" 2554 =
!
"
= * &(%2')" -- 20@2320(1
--
$
+
B*
+