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Direction of Change at the Bucharest Stock Exchange

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Author Info
Radu Lupu () (Bucharest University of Economics, Romania)
Cristiana Tudor () (Bucharest University of Economics, Romania)

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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/JE27_1_2008.pdf
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Publisher 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
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:rej:journl:v:11:y:2008:i:27:p:165-185

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Web page: http://www.rei.ase.ro/
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Related research
Keywords: financial asset returns; empirical analysis;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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This page was last updated on 2009-11-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.