[1] Ajayi, R.A., Mehdian, S., & Perry, M.J.(2004). The Day-of-the-Week Effect in Stock Returns: Further Evidence from Eastern European Emerging Markets. Emerging Markets Finance and Trade, 40(4), 53-62.

[2] Alagidede, P. (2008). Day of the week seasonality in African stock markets.Applied Financial Economics Letters, 4(2), 115-120.

[3] Apolinario, R.M.C., Santana, O.M., Sales, L. J., & Caro, A.J. (2006). Day of the Week Effect on European Stock Markets. International Research Journal of Finance and Economics, 2, 53-70.

[4] Booth, G., Kallunki, J.P., &Martikainen T. (2001). Liquidity and the turn-of -the-month effect: evidence from Finland. Journal of International Financial Markets, Institutions and Money, 11, 137-146

[5] Box, G.E.P., & Pierce, D.A. (1970). Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models. Journal of the American Statistical Association, 65, 1509-1526.

[6] Brooks, C., &Persand, G. (2001). Seasonality in Southeast Asian Stock Markets: some new evidence on the day-of- the-week effects. Applied Economics Letters, 8 (3), 155-158.

[7] De Bondt, W.F.M &Thaler, R.H. (1995).Financial decision-making in markets and firms: A behavioral perspective. Handbooks in Operations Research and Management Science, 9, 385-410

[8] Diaconasu, D.E., Mehdian, S., &Stoica, O. (2012). An examination of the calendar anomalies in the Romanian market. Procedia Economics and Finance, 3, 817-822.

[9] Doyle, J.R., & Chen, C.H. (2009). The wandering weekday effect in major stock markets. Journal of Banking and Finance, 33(8), 1388-1399.

[10] Dragota, V. & ?ilica, E.V. (2014). Market efficiency of the Post Communist East European stock markets. Central European Journal of Operations Research, 22(2), 307-337

[11] Engle, R.F.(1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1008

[12] Fama, E. (1970). Efficient Capital Markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417

[13] Guidi, F., Gupta, R., &Maheshwari, S.(2011) Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets.Journal of Emerging Market Finance, 10(3), 337-389.

[14] Hensel, C., &Ziemba, W.(1996). Turn-of-the-month effects. The Journal of Portfolio Management, 22, 17-23

[15] Hourvouliades, N., &Kourkoumelis, N.(2009). Day-of-Week Effects during the Financial Crisis.Available at: www.icabr.com/fullpapers/Hourvouliades%20Nikolas,%20Nick%20Kourkoumelis.pdf. Paper presented at the International Conference on Business Research ICABR 2009, Valletta, Malta, September 2009.

[16] Jalonen, E., Vahamaa, S. &Aijo, J.(2010). Turn-of-the-month and intramonth effects in government bonds markets: Is there a role for macroeconomic news? Research in International Business and Finance, 24,75-81

[17] Keim, D., &Stambaugh, R. (1984). A further investigation of the weekend effect in stock returns.The Journal of Finance, 39(3), 819-835.

[18] Kiymaz, H. &Berument, H. (2003). The day of the week effect on stock market volatility and volume: International evidence.Review of Financial Economics, 12, 363-380.

[19] Kunkel, R., Compton, W., & Beyer, S. (2003). The turn-of-the-month effect still lives: the international evidence. International Review of Financial Analysis, 12, 207-221

[20] Lakonishok, J., &Smidt, S.(1988). Are seasonal anomalies real? A ninety-year perspective. The Review of Financial Studies,1(4), 403-425.

[21] McConell, J., & Wu, W.(2008). Equity returns at the turn of the month. Financial Analysts Journal, 64, 49-64

[22] McInish, T.H., & Wood, R.A. (1992). An analysis of intraday patterns in Bid/Ask spreads for NYSE stocks, Journal of Finance, 47, 753-764.

[23] Newey, W.K., & West, K.D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55(3), 703-708.

[24] Nikkinen, J., Sahlstrom, P., &Aijo, J.(2007). Turn-of-the-month and intramonth effects: explanation from the important macroeconomic news announcements. The Journal of Futures Markets, 27, 105-126

[25] Ogden, J.(1990). Turn-of-the-month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects. The Journal of Finance, 45, 1259-1272

[26] Patel, N. & Sewell, M. (2015). Calendar anomalies: a survey of the literature. International Journal of Behavioural Accounting and Finance, 5 (2), 99-121

[27] Rossi, M. (2015). The efficient market hypothesis and calendar anomalies: A literature review. International Journal of Managerial and Financial Accounting, 7, 285 - 296

[28] Sharma, S., & Narayan, P.(2014). New evidence on turn-of-the-month effects. Journal of International Financial Markets, Institutions and Money, 29, 92-108

[29] Shiller, R. (2003).From efficient markets theory to behavioral finance. Journal of Economic Perspectives, 17(1), 83-104

[30] Thaler, R. (1987a). Anomalies. The January effect. Journal of Economic Perspectives, 1(1), 197-201

[31] Thaler, R. (1987b). Seasonal movements in security prices II: weekend, holiday, turn of the month and intraday effect. Journal of Economic Perspectives, 1(2), 169-177.

[32] ?ilica, E.V.(2014). The month-of-the-year effect in Post Communist East-European stock markets. Review of Finance and Banking, 6, 29-40

[33] ?ilica, E. V. (2015). Intramonthly anomalies on the Bucharest Stock Exchange. Procedia Economics and Finance, 32, 271-277

[34] Tudor, C.(2006). Testing for seasonal anomalies in the Romanian stock market.Romanian Economic Journal, 21, 71-79.

[35] White, H. (1980). A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48(4), 817-838.