This paper investigates seasonal anomalies in stock returns on Bucharest Stock Exchange. The anomalies studied are two of the most common security price anomalies detected on international stock markets, the day-of-the-week effect and the month-of-the-year effect. The empirical research is conducted using daily logarithmic returns of the Romanian composite index, BET-C, over a six years period (January 2000- December 2005). A regression model using dummy variables is run to test the presence of these seasonal effects, but the results provide no support for the existence of these calendar effects on the Romanian stock market.