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Investigating The Behavior Of The Emerging Stock Market In Romania: A Case Study

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  • SIMION MIRCEA LAURENTIU

    (UNIVERSITY OF CRAIOVA, "EUGENIU CARADA" DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA)

  • BIRAU RAMONA

    (UNIVERSITY OF CRAIOVA, "EUGENIU CARADA" DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA & FACULTY OF ECONOMIC SCIENCE, “CONSTANTIN BRANCUSI” UNIVERSITY, TG-JIU, ROMANIA)

  • MARGARITESCU STEFAN

    (UNIVERSITY OF CRAIOVA, "EUGENIU CARADA" DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA)

  • LUPU (FILIP) GABRIELA ANA MARIA

    (UNIVERSITY OF CRAIOVA, "EUGENIU CARADA" DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA)

Abstract

The main aim of this research paper is to investigate the behavior of the emerging stock market in Romania. The selected time frame for the empirical analysis covers the following long time period, such as from May 2010 to July 2025. The econometric approach leads to obtaining robust and relevant results regarding the dynamics of the Romanian stock market. Moreover, the time period selected for analysis includes a series of extreme events such as the COVID-19 pandemic and the war between Russia and Ukraine. Volatility clustering is a phenomenon that is observed especially under the impact of extreme events. The empirical results are relevant and contribute to the existing literature on the long-term behavior of emerging stock markets in the European Union, especially focusing on Romania.

Suggested Citation

  • Simion Mircea Laurentiu & Birau Ramona & Margaritescu Stefan & Lupu (Filip) Gabriela Ana Maria, 2025. "Investigating The Behavior Of The Emerging Stock Market In Romania: A Case Study," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 42-50, August.
    • Handle: RePEc:cbu:jrnlec:y:2025:v:4:p:42-50
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    References listed on IDEAS

    as
    1. Mirela Clementina Panait & Marian Catalin Voica & Eglantina Hysa & Alfonso Siano & Maria Palazzo, 2022. "The Bucharest Stock Exchange: A Starting Point in Structuring a Valuable CSR Index," JRFM, MDPI, vol. 15(2), pages 1-14, February.
    2. Ștefan Cristian Gherghina & Daniel Ștefan Armeanu & Camelia Cătălina Joldeș, 2021. "COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach," JRFM, MDPI, vol. 14(8), pages 1-29, July.
    3. Mariana Hatmanu & Cristina Cautisanu, 2021. "The Impact of COVID-19 Pandemic on Stock Market: Evidence from Romania," IJERPH, MDPI, vol. 18(17), pages 1-22, September.
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