Do The Macroeconomic Factors Influence The Romanian Equity Prices?
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.
Volume (Year): (2011)
Issue (Month): ()
|Contact details of provider:|| Postal: Str Horea nr. 7, Cluj-Napoca 400174|
Phone: 004 0264 599170
Fax: 004 0264 590110
Web page: http://www.tbs.ubbcluj.ro/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
- 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.
When requesting a correction, please mention this item's handle: RePEc:bbn:journl:2011_2_6_balint. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Cornelia Pop)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.