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Direction of Change at the Bucharest Stock Exchange

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Author Info

  • Radu Lupu

    ()
    (Bucharest Academy of Economic Studies, Romania)

  • Cristiana Tudor

    ()
    (Bucharest Academy of Economic Studies, Romania)

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.

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File URL: http://www.rejournal.eu/sites/rejournal.versatech.ro/files/articole/2014-04-17/2213/je202720-20lupu20tudor.pdf
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Bibliographic Info

Article provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.

Volume (Year): 11 (2008)
Issue (Month): 27 (January)
Pages: 165-185

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Handle: RePEc:rej:journl:v:11:y:2008:i:27:p:165-185

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Related research

Keywords: financial asset returns; empirical analysis;

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Cited by:
  1. Panait, Iulian & Slavescu, Ecaterina Oana, 2011. "Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007-2011," MPRA Paper 41786, University Library of Munich, Germany.

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