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Using The Market Model On Romanian Stock Exchange

Author

Listed:
  • Daniel ARMEANU

    (Academy of Economic Studies Bucharest)

  • Cristina Andreea DOIA

    (Academy of Economic Studies Bucharest)

  • Andreea NEGRU

    (Academy of Economic Studies Bucharest)

  • Natalita HURDUC

    („Athenaeum” University Bucharest)

Abstract

One of the concerns in portfolio management is to anticipate market evolution, generally given by a stock index. The market value of a stock is connected to the trends of the index; each security follows, more or less, the index trend line. This relationship between the return on a financial security and the return on a market index outlines the concept of market model.

Suggested Citation

  • Daniel ARMEANU & Cristina Andreea DOIA & Andreea NEGRU & Natalita HURDUC, 2010. "Using The Market Model On Romanian Stock Exchange," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 4(20), pages 9-16, December.
    • Handle: RePEc:ath:journl:tome:20:y:2010(iv):i:20:p:9-16
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    File URL: http://aimr.univath.ro/archive/atharticles/2010-4/2010-4-1.pdf
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    More about this item

    Keywords

    market model; systematic risk (market risk); unsystematic risk (idiosyncratic risk); volatility; correlation coefficient; etc.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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