Direction of Change at the Bucharest Stock Exchange

Radu Lupu () and Cristiana Tudor

Romanian Economic Journal, 2008, vol. 11, issue 27, pages 165-185

Abstract: The objective of our paper is to analyze the possibility to provide a forecast for the sign of the financial asset returns using the empirical prices of stocks listed at the Bucharest Stock Exchange. Previous research provided by Christoffersen and Diebold (2004) among others show that even if both the sign and the absolute value of returns are deterministic, their composure (the returns themselves) do not show autocorrelations. We focus on the deterministic nature of the signs by implementing a pure empirical analysis.

Keywords: financial asset returns; empirical analysis (search for similar items in EconPapers)
JEL-codes: F31 F37 G11 G12 (search for similar items in EconPapers)
Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:rej:journl:v:11:y:2008:i:27:p:165-185

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