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Direction of Change at the Bucharest Stock Exchange

  • Radu Lupu


    (Bucharest Academy of Economic Studies, Romania)

  • Cristiana Tudor


    (Bucharest Academy of Economic Studies, Romania)

The objective of our paper is to analyze the possibility to provide a forecast for the sign of the financial asset returns using the empirical prices of stocks listed at the Bucharest Stock Exchange. Previous research provided by Christoffersen and Diebold (2004) among others show that even if both the sign and the absolute value of returns are deterministic, their composure (the returns themselves) do not show autocorrelations. We focus on the deterministic nature of the signs by implementing a pure empirical analysis.

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Article provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.

Volume (Year): 11 (2008)
Issue (Month): 27 (January)
Pages: 165-185

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Handle: RePEc:rej:journl:v:11:y:2008:i:27:p:165-185
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