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Analysis of Structural Breaks in BET Index

Author

Listed:
  • Valentin EPURE

    (School of Advanced Studies of the Romanian Academy (SCOSAAR))

Abstract

In the paper, we analyse the dynamics of the BET index between 1997 and 2017. The fluctuations in the BET dynamics have led to the construction of an econometric model with breaks in trend. Stability tests indicated as plausible a regression model with a linear trend and five breakpoints: 30 August 2002, 29 August 2005, 26 August 2008, 24 August 2011 and 11 September 2014. The model explains 95% of variation in BET index from the mean.

Suggested Citation

  • Valentin EPURE, 2017. "Analysis of Structural Breaks in BET Index," Eco-Economics Review, Ecological University of Bucharest, Economics Faculty and Ecology and Environmental Protection Faculty, vol. 3(1), pages 21-34, June.
    • Handle: RePEc:eub:ecoecr:v:1:y:2017:i:1:p:21-34
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    More about this item

    Keywords

    Bucharest Exchange Trading (BET) Index; stability tests; multiple structural breaks;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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