STRUCTURAL ANALYSIS ON THE ROMANIAN CAPITAL MARKET HAVING AS SUPPORT THE BUCHAREST STOCK EXCHANGE

被引：0
|
作者：
Stancu, Stelian [1 ]
Constantin, Alexandra Maria [1 ]
Predescu , Oana Madalina [1 ]
机构：
[1] Bucharest Univ Econ Studies, Bucharest, Romania
来源：
INTERNATIONAL CONFERENCE ON INFORMATICS IN ECONOMY | 2013年
关键词：
Capital Market; Cointegration Relations; ARMA(p; q); VECM; Efficient Market Hypothesis;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Shocks on the financial market, a component with a more and more uncertain macroeconomic evolution, affect beyond redress the long term dynamic. The present paper has several specific objectives: to verify the weak form of the efficient market hypothesis on the Romanian capital market; to estimate the adequate model in order to describe the evolutionary behaviour of the Romanian capital market; to study the impact of the capital market development on five of the ten most important stocks quoted on the BSE by modelling a VECM and cointegration relations, and last but not least, to expose the conclusions of the study.
引用
收藏
页码：484 / 488
页数：5
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