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A Frontier Market Case: Does Bucharest Stock Exchange Have A Leading Domestic Index?



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


    () (Department of Mathematica Sciences, Stevens Institute of Technology, Hoboken, NJ, USA)


    () (MarketAxess, New York, USA)


A frontier market can play a significant role in the diversification of a global portfolio. Equally important are the companies selected in order to fulfill the diversification needs. We focused on Bucharest Stock Exchange, considered a frontier market, and we analyzed its own diversification power based on the presence/ absence of a leading index that influences the price evolution of the other traded companies. This idea was suggested by the strong position of the five listed closed-end funds in the equity sector of the Bucharest Stock Exchange. We show through combined correlation, regression and Granger-causality analysis that BET-Fi has a direct influence on Bucharest Stock Exchange blue chips represented by BET index. As follows, BET-Fi can be considered an index leader and we discuss the general implications of this finding.

Suggested Citation

  • Cornelia Pop & Dragos Bozdog & Adina Calugaru, 2012. "A Frontier Market Case: Does Bucharest Stock Exchange Have A Leading Domestic Index?," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
  • Handle: RePEc:bbn:journl:2012_2_1_pop

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    File Function: Revised version, 2012
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    More about this item


    frontier market; financial investment companies; Granger-causality; regression; leading index;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions


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