TITLE

A FRONTIER MARKET CASE: DOES BUCHAREST STOCK EXCHANGE HAVE A LEADING DOMESTIC INDEX?

AUTHOR(S)
Pop, Cornelia; Bozdog, Dragoş; Călugăru, Adina
PUB. DATE
June 2012
SOURCE
Studia Universitatis Babes-Bolyai, Negotia;Jun2012, Vol. 57 Issue 2, p3
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
A frontier market can play a significant role in the diversification of a global portfolio. Equally important are the companies selected in order to fulfill the diversification needs. We focused on Bucharest Stock Exchange, considered a frontier market, and we analyzed its own diversification power based on the presence/ absence of a leading index that influences the price evolution of the other traded companies. This idea was suggested by the strong position of the five listed closed-end funds in the equity sector of the Bucharest Stock Exchange. We show through combined correlation, regression and Granger-causality analysis that BET-Fi has a direct influence on Bucharest Stock Exchange blue chips represented by BET index. As follows, BET-Fi can be considered an index leader and we discuss the general implications of this finding.
ACCESSION #
77650456

 

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