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Stylized Facts Of The Daily, Weekly And Monthly Returns On Bucharest Stock Exchange During 2007-2012

Author

Listed:
  • Corina Maria Ene

    (Hyperion University Bucharest Romania)

  • Carmen Marilena Uzlau

    (Hyperion University Bucharest Romania)

  • Iulian Panait

    (Hyperion University Bucharest Romania)

Abstract

Our paper documents a set of statistical properties of the monthly, weekly and dailyreturns for the most liquid 30 stocks traded on Bucharest Stock Exchange during 2007 - 2012 andalso for 3 important Romanian stock market indices. Our results confirm the presence of most thestylized facts documented by Cont (2001) and other similar studies. Also we identify someparticularities of the stock returns on the Romanian capital market which are useful both for localand foreign retail and institutional investors in their portfolio management decisions. In particular,we found that the monthly simple returns have an autocorrelation effect with 1-5lags, which isunusual for developed markets but was previously detected on other European emerging andfrontier markets.

Suggested Citation

  • Corina Maria Ene & Carmen Marilena Uzlau & Iulian Panait, 2013. "Stylized Facts Of The Daily, Weekly And Monthly Returns On Bucharest Stock Exchange During 2007-2012," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(15), pages 1-15.
  • Handle: RePEc:alu:journl:v:1:y:2013:i:15:p:15
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    File URL: http://oeconomica.uab.ro/upload/lucrari/1520131/15.pdf
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    References listed on IDEAS

    as
    1. P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
    2. Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005. "Market Integration and Contagion," The Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January.
    3. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    4. R. Gaston Gelos & Ratna Sahay, 2001. "Financial market spillovers in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 53-86, March.
    5. Panait, Iulian & Lupu, Iulia, 2009. "The Behavior Of The Bucharest Stock Exchange During The Current Financial Markets Crisis And Proposed Measures For Its Sustainable Development," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 1(1), pages 73-80.
    6. Panait, Iulian & Constantinescu, Alexandru, 2012. "Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012," MPRA Paper 44249, University Library of Munich, Germany.
    7. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    8. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
    9. Cornelia Pop & Cristina Curutiu & Partenie Dumbrava, 2009. "Bucharest Stock Exchange - the Effects of the Current Financial Crisis," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 5, pages 805-818.
    10. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    stylized facts; stock returns; frontier markets;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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