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Analysis of the Romanian Capital Market in the Context of Market Globalization

Author

Listed:
  • Dan ARMEANU

    (Academy of Economic Studies, Bucharest)

  • Ana-Maria BURCA

    (Academy of Economic Studies, Bucharest)

  • Sorin CIOACA

    (Academy of Economic Studies, Bucharest)

Abstract

The analysis from stock exchange perspective of the period 2007-2012 emphasizes the apparent correlation of global markets, revealed by the movements in the same directions of the main mature markets. Following the contagion effect, the turbulences experienced by mature markets transferred on the emergent ones too, amongst them being Romania. The crisis on the financial markets has had important consequences on the stock exchange industry of Romania, where the weight of stock exchange capitalization in the Gross Domestic Product reduced by more than 60 percents in 2008. The extreme volatility manifested during the years following the subprime crisis, especially after 2009, favored the achievement of positive efficiency that easily surpassed 100%, but without, at the level of main indexes, the depreciation suffered in 2008 to be recovered. Financial crisis affected the consolidation process of the internal capital market, situation emphasized also by the extreme volatility, leading to efficiency of main stock exchange indexes, which are not statistically correlated in a significant manner to the efficiencz recorded on mature markets. From the analysis of the efficiency of tha BET index, the efficiencies of the indexes DJIA, S&P 500 and EUROSTOXX 50, a relative correlation of the efficiencies of BET and EUROSTOXX is observed, but instead the links to the American market being irrelevant.

Suggested Citation

  • Dan ARMEANU & Ana-Maria BURCA & Sorin CIOACA, 2012. "Analysis of the Romanian Capital Market in the Context of Market Globalization," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(2), pages 336-340, May.
  • Handle: RePEc:rsr:supplm:v:60:y:2012:i:2:p:336-340
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    References listed on IDEAS

    as
    1. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2012. "Oil prices, exchange rates and emerging stock markets," Energy Economics, Elsevier, vol. 34(1), pages 227-240.
    2. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
    3. Birz, Gene & Lott Jr., John R., 2011. "The effect of macroeconomic news on stock returns: New evidence from newspaper coverage," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2791-2800, November.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. STEFANOVA, Julia, 2014. "Stock Exchanges Development: The Case Of Bulgaria And Romania," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 1(1), pages 194-201.

    More about this item

    Keywords

    financial crisis; capital market; stock exchange capitalization; trading volume; stock exchange indexes;

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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