A Frontier Market Case: Does Bucharest Stock Exchange Have a Leading Domestic Index?

Journal Studia Universitatis Babes-Bolyai Negotia, LVII, 2, 2012, pp. 3-26

23 Pages Posted: 24 Jan 2013

See all articles by Cornelia Pop

Cornelia Pop

Babes-Bolyai University

Dragos Bozdog

Stevens Institute of Technology

Adina Calugaru

MarketAxess

Date Written: August 1, 2012

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.

Keywords: frontier market, financial investment companies, Granger-causality, regression, leading index

JEL Classification: G10, G11

Suggested Citation

Pop, Cornelia and Bozdog, Dragos and Calugaru, Adina, A Frontier Market Case: Does Bucharest Stock Exchange Have a Leading Domestic Index? (August 1, 2012). Journal Studia Universitatis Babes-Bolyai Negotia, LVII, 2, 2012, pp. 3-26, Available at SSRN: https://ssrn.com/abstract=2206000

Cornelia Pop

Babes-Bolyai University ( email )

Cluj-Napoca
Romania

Dragos Bozdog (Contact Author)

Stevens Institute of Technology ( email )

Hoboken, NJ 07030
United States
2012163527 (Phone)

HOME PAGE: http://faculty.stevens.edu/dbozdog

Adina Calugaru

MarketAxess ( email )

New York, NY
United States

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