Pop, Cornelia; Bozdog, Dragoş; Călugăru, Adina
June 2012
Studia Universitatis Babes-Bolyai, Negotia;Jun2012, Vol. 57 Issue 2, p3
Academic Journal
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.


Related Articles

  • The UK funds delivering on income (and those that aren't). Watt, Gregor // Fundweb;1/18/2013, p5 

    The article discusses the significance of the difference between British equity income run on a total return and those geared towards paying income for investors. The author talks about the effort by investors to keep their savings from being eroded due to low returns available from cash...

  • A comparison between German and Spanish equity fund markets. Ferruz, Luis; Sarto, José L; Andreu, Laura // Journal of Asset Management;Oct2007, Vol. 8 Issue 3, p147 

    The article provides information on a study which investigated whether equity funds in Germany and Spain display persistence in their returns, using the contingency table methodology. Included in the study are the past returns and total assets of all German and Spanish equity funds investing...

  • Minimum-variance versus tangent portfolios - A note. Tarrazo, Manuel; �beda, Ricardo // Journal of Asset Management;Jun2012, Vol. 13 Issue 3, p186 

    In this study, we analyze three research items found in the literature on the comparative performance of the global minimum-variance to the tangent portfolio. First, some authors assume that the global minimum-variance portfolio does not include average returns, but we show this is not the case....

  • The Long-term Performance of Diverse Firms. Porras, David; Psihountas, Debbie; Griswold, Melissa // International Journal of Diversity in Organisations, Communities;Jul2006, Vol. 6 Issue 1, p25 

    Cumulative abnormal returns and buy-and-hold abnormal returns are computed for a sample of companies recognized by Fortune as the ‘50 Best Companies for Minorities’. These are compared to two benchmarks: the CRSP valueweighted index and portfolios of firms of similar size and...

  • STOCK MARKET FORECASTING: ARTIFICIAL NEURAL NETWORK AND LINEAR REGRESSION COMPARISON IN AN EMERGING MARKET. Altay, Erdinç; Satman, M. Hakan // Journal of Financial Management & Analysis;Jul-Dec2005, Vol. 18 Issue 2, p18 

    In this research, we compare the forecasting performance of ANN and linear regression strategies in Istanbul Stock Exchange and we get some evidence of statistical and financial out perform of ANN models. Although the out-of-sample forecast accuracy statistics (RMSE, MAE and Theil's U) of ANN...

  • MARKET PHASE AND THE STATIONARITY OF BETA. Gooding, Arthur E.; O'Malley, Terence P. // Journal of Financial & Quantitative Analysis;Dec77, Vol. 12 Issue 5, p833 

    This article examines the stationarity of beta coefficients, especially in regard to recent, major stock market trends. In addition to the usual correlation tests for stationarity, this article describes a more direct method for testing the stationarity of portfolio betas. The method involves...

  • Alternative Energy Indexes and Oil. Alper Gormus, N.; Sarkar, Salil // Journal of Accounting & Finance (2158-3625);2014, Vol. 14 Issue 4, p52 

    Numerous studies evaluate the effects of oil price shocks on the stock market. However due to it being a recent phenomenon, models about alternative energy source related companies are relatively rare. In this study, the effects of oil price shocks on the performance of alternative energy...

  • Time in the Market. Klassen, Damien // Money (Australia Edition);Jun2005, Issue 5, Special Section p2 

    Emphasizes the importance of market timing to portfolio management. Status of the Australian stock market as of June 2005; Factors that contributed to the increase in dividends and stock prices.

  • Index Participation Units, Market Tracking Risk, and Equity Market Demand. Switzer, Lorne N.; Zoghaib, Rana // Canadian Journal of Administrative Sciences (Canadian Journal of;Sep99, Vol. 16 Issue 3, p243 

    Examines the market tracking behavior of the Toronto Stock Exchange (TSE) 35 Index Participation Units (TIP) as a means of ascertaining their usefulness as a tool for hedging the Canadian market portfolio TSE 300. Test of the shape of the demand curve for equity in Canada; Benefits of TIP in...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics