A Time Series Model for the Romanian Stock Market

El Thalassinos () and Diana-Mihaela Țîrcă (Pociovalisteanu) ()

European Research Studies Journal, 2007, vol. X, issue 3-4, 57-72

Abstract: The purpose of this study is to investigate the performance of the Romanian stock market using daily data for the period 1997-2007. During this period the European Union finalized many of its operational issues and EMU was put into effect. Additionally globalization brought increased attention to stock markets throughout the world, while the free trade and the technological financial innovations have changed the world stock market considerably. To test the impact in the Romanian stock market from these developments a number of different time series models are proposed in an attempt to clarify whether or not the Romanian stock market has been adjusted accordingly and to forecast the series. The proposed model is an ARIMA (p,d,q) process fitting the data very well. The results indicate that the Romanian stock market went through a significant structural change during the study period.

Keywords: Time series methodology; forecasting stock markets; stationarity tests (search for similar items in EconPapers)
JEL-codes: C22 C50 C53 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://www.ersj.eu/repec/ers/papers/07_34_p6.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:x:y:2007:i:3-4:p:57-72

Access Statistics for this article

More articles in European Research Studies Journal from European Research Studies Journal
Bibliographic data for series maintained by Marios Agiomavritis ().