The Analysis of the Bucharest Stock Exchange Financial Sector

Dima, Bogdan and Pirtea, Marilen and Barna, Flavia and Murgea, Aurora and Nachescu, Miruna (2007): The Analysis of the Bucharest Stock Exchange Financial Sector.

Abstract

The Romanian financial market has passed in the last years through a large “maturating” and consolidation process which has created an unfinished architecture, harmonising step by step with the capital markets from European Union. One possible way to analyse the empirical characteristics of this architecture could be the sectoral approach of the distribution, informational efficiency and volatility, synthesised by the index’s dynamic. This paper is oriented on the financial sector of the Bucharest Stock Exchange, reflected in the BET-FI index because this sector has gone through important changes during the last few years, becoming very attractive for the individual and institutional investors. The paper offers an analysis of the static proprieties of the BET-FI index and of the way the financial sector positioned in respect to the other sectors, as well as to the whole capital Romanian market (done through a co-integration between the BET-FI index and the others main indexes of the market namely BET and BET-C). The main results show an asymmetrical distribution of the BET-FI index, bring some evidences of a weak form of sector efficiency, and identify the presence of connections between the BET-FI index and the other indexes. Also some important mutations of the BET-FI short term volatility are registered

• Item Type: MPRA Paper
• Language: English
• Keywords: capital market, efficiency, co-integration, volatility, rational behaviour
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection

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