A FRONTIER MARKET CASE: DOES BUCHAREST STOCK EXCHANGE HAVE A LEADING DOMESTIC INDEX? Cover Image

A FRONTIER MARKET CASE: DOES BUCHAREST STOCK EXCHANGE HAVE A LEADING DOMESTIC INDEX?
A FRONTIER MARKET CASE: DOES BUCHAREST STOCK EXCHANGE HAVE A LEADING DOMESTIC INDEX?

Author(s): Adina Călugaru, Dragoş Bozdog, Cornelia Pop
Subject(s): Economy
Published by: Studia Universitatis Babes-Bolyai
Keywords: frontier market; financial investment companies; Granger-causality; regression; leading index.

Summary/Abstract: A frontier market can play a significant role in the diversification of a global portfolio. Equally important are the companies selected in order to fulfill the diversification needs. We focused on Bucharest Stock Exchange, considered a frontier market, and we analyzed its own diversification power based on the presence/ absence of a leading index that influences the price evolution of the other traded companies. This idea was suggested by the strong position of the five listed closed-end funds in the equity sector of the Bucharest Stock Exchange. We show through combined correlation, regression and Granger-causality analysis that BET-Fi has a direct influence on Bucharest Stock Exchange blue chips represented by BET index. As follows, BET-Fi can be considered an index leader and we discuss the general implications of this finding.

  • Issue Year: 57/2012
  • Issue No: 2
  • Page Range: 3-26
  • Page Count: 24
  • Language: English
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