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A Time Series Model for the Romanian Stock Market

Author

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  • Eleftherios Thalassinos
  • Diana-Mihaela Pociovalisteanu

Abstract

The purpose of this study is to investigate the performance of the Romanian stock market using daily data for the period 1997-2007. During this period the European Union finalized many of its operational issues and EMU was put into effect. Additionally globalization brought increased attention to stock markets throughout the world, while the free trade and the technological financial innovations have changed the world stock market considerably. To test the impact in the Romanian stock market from these developments a number of different time series models are proposed in an attempt to clarify whether or not the Romanian stock market has been adjusted accordingly and to forecast the series. The proposed model is an ARIMA (p,d,q) process fitting the data very well. The results indicate that the Romanian stock market went through a significant structural change during the study period.

Suggested Citation

  • Eleftherios Thalassinos & Diana-Mihaela Pociovalisteanu, 2007. "A Time Series Model for the Romanian Stock Market," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 57-72.
  • Handle: RePEc:ers:journl:v:x:y:2007:i:3-4:p:57-72
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    File URL: http://www.ersj.eu/repec/ers/papers/07_34_p6.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Time series methodology; forecasting stock markets; stationarity tests;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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