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Do The Macroeconomic Factors Influence The Romanian Equity Prices?



    () (Faculty of Business, Babes-Bolyai University, Cluj-Napoca, Romania)


Asset prices are commonly believed to react sensitively to economic news. The purpose of this article is to investigate following issues: first, what kind of factors affects Romanian equity market returns and second, how well the APT model can explain Romanian equity returns. The paper will analyze if the market risk is the most influential risk factor or there are some other factors influencing the price returns. This article will survey 30 shares listed at Bucharest Stock Exchange, the economic factors that might influence these socks, and the correlation between the equity prices and the chosen macroeconomic factors. In the final part, ordinary least squares regressions will be ran in order to test the APT, but also the influence of the studied macroeconomic factors upon the share prices during the analyzed period (January 2002– June 2010) will be observed. Results suggest that every equity has a positive mean excess return, but none of them is normally distributed according the Bera-Jarque test. Also the macroeconomic variables have a positive mean return and no factor is normally distributed. Regarding the correlations between the titles and the macroeconomic factors, it can be observed that they are relatively weak and not significant. Finally, it can be observed that the macroeconomic factors that were used influenced the price of the 30 equities under scrutiny during the entire analyzed period, except for the unemployment rate and the inflation.

Suggested Citation

  • Cristina Balint, 2011. "Do The Macroeconomic Factors Influence The Romanian Equity Prices?," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
  • Handle: RePEc:bbn:journl:2011_2_6_balint

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    References listed on IDEAS

    1. Anatolyev, Stanislav, 2005. "A Ten-year retrospection of the behavior of Russian stock returns," BOFIT Discussion Papers 9/2005, Bank of Finland, Institute for Economies in Transition.
    2. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
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    More about this item


    macroeconomic factors; capital market; multiple regression.;

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General


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