Financial Market Reactions to the Political Uncertainty. Study Case: Romania

Luciana Simion () and Georgiana-Loredana Schipor ()
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Luciana Simion: Bucharest University of Economic Studies
Georgiana-Loredana Schipor: “Ovidius†University of Constanta

Ovidius University Annals, Economic Sciences Series, 2020, vol. XX, issue 2, 1072-1080

Abstract: The goal of this paper is to identify the influence of the economic policy and political uncertainty on the Romania stock market. We used the Bollinger Bands set at two standard deviations and Bollinger Bandwidth Indicator in order to emphasize volatility. By applying technical indicators on the BET-XT index between 2018 – 2020, the findings show that political uncertainty influences the index evolution. Our study shows that the magnitude of the impact of policy measures is stronger than the impact of events such as presidential, local or European parliamentary elections, cabinet formation and dissolution. The study reveals an asymmetry of the index volatility, in the sense that unexpected “shock†type events with negative impact determined a much higher volatility. The SPSS analysis reveals the indirect correlation between the number of COVID-19 daily registered cases in Romania, as major panic factor at the beginning of the pandemic, and the BET-XT evolution.

Keywords: political uncertainty; volatility; financial market; BET-XT (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xx:y:2020:i:2:p:1072-1080

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