Short-Term Influence of the Oil Price on Stock Prices from the Bucharest Stock Exchange

9 Pages Posted: 7 Apr 2013

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: April 5, 2013

Abstract

In the last decades, several studies revealed the significant impact of oil price variation not only on the real economic activity but also on the financial markets evolutions. Such relations are affected by some particularities of the national economies. In this paper we examine the impact of the oil price on the Romanian capital market evolution from January 2000 to February 2013. In our analysis we employ daily values of the Brent oil price and of BET C, one of the main indexes of Bucharest Stock Exchange. A GARCH model allows us to investigate the effects of the oil price fluctuations on returns and volatility of the stock prices. We split our samples of data in three sub-samples in order to capture the influence of three major processes that affected the Romanian economy: the last stage of transition to a capitalist system, the transformations induced by the adhesion to European Union and the global crisis. Our results revealed significant changes on the relation between oil price and stock prices that occurred during these three periods of time.

Keywords: Oil Price, Romanian Capital Market, Volatility, GARCH Model

JEL Classification: G00, G01, G10, G19

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Short-Term Influence of the Oil Price on Stock Prices from the Bucharest Stock Exchange (April 5, 2013). Available at SSRN: https://ssrn.com/abstract=2245695 or http://dx.doi.org/10.2139/ssrn.2245695

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

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