Analysis of Structural Breaks in BET Index

Valentin Epure
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Valentin Epure: School of Advanced Studies of the Romanian Academy (SCOSAAR)

Eco-Economics Review, 2017, vol. 3, issue 1, 21-34

Abstract: In the paper, we analyse the dynamics of the BET index between 1997 and 2017. The fluctuations in the BET dynamics have led to the construction of an econometric model with breaks in trend. Stability tests indicated as plausible a regression model with a linear trend and five breakpoints: 30 August 2002, 29 August 2005, 26 August 2008, 24 August 2011 and 11 September 2014. The model explains 95% of variation in BET index from the mean.

Keywords: Bucharest Exchange Trading (BET) Index; stability tests; multiple structural breaks (search for similar items in EconPapers)
JEL-codes: C12 C52 E44 G17 (search for similar items in EconPapers)
Date: 2017
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