Articles on Issue Theme
Delia-Elena DIACONAŞU
Universitatea “Alexandru Ioan Cuza” din Iaşi
About the features and impact of volatility on emerging stock market there is a wide literature, but we are convinced that such a topic still provides fertile ground for the economic research. The reasons are multiple: emerging stock markets have several particularities compared to the developed ones, the dynamics of this sector is incomparable with that of other fields of the economy, there is no complete and satisfying answer on the causality of this phenomenon, the succession of manias and panics at the global level that led to a reviving interests regarding the volatility of emerging markets. Therefore, the aim of this paper is to identify the determinants of an emerging stock market. In other words, we analyse the impact of national and international macroeconomic indicators on the evolution of Romanian stock exchange volatility. Therefore, we try to find answers to several questions like: which are the macroeconomic factors that set off stock market deviations? Are they more national or more international? In order to succeed in such attempts we used the GARCH models. The selected time span for our empirical investigation is January 2005 - February 2015. Our results brought to the fore the influence of international factors on the Romanian stock market volatility.
ŒCONOMICA no. 1/2015
Keywords: emerging stock markets, GARCH, macroeconomic determinants
JEL: C13, F21, G15
Bucharest Stock Exchange Volatility – Do Fundamentals Matter? [Volatilitatea Bursei de Valori Bucureşti – Contează fundamentele?]
Select Issue:
Archive
Octavian-Dragomir JORA
Academia de Studii Economice din Bucureşti
Mara Andreea TUDOR
University of Chicago
Cătălin MURARAŞU
Academia de Studii Economice din Bucureşti
Ramona Iulia DIEACONESCU
Academia de Studii Economice din Bucureşti
Maria GHEORGHE (NIŢU)
Academia de Studii Economice din Bucureşti
Sorin-Nicolae CURCĂ
Academia Română
Revista ŒCONOMICA
Authors
