A Time Series Model for the Romanian Stock Market

Eleftherios Thalassinos, Diana-Mihaela Pociovalisteanu
European Research Studies Journal, Volume X, Issue 3-4, 57-72, 2007
EOI: 10.11214/thalassinos.10.02.006

Abstract:

The purpose of this study is to investigate the performance of the Romanian stock market using daily data for the period 1997-2007. During this period the European Union finalized many of its operational issues and EMU was put into effect. Additionally globalization brought increased attention to stock markets throughout the world, while the free trade and the technological financial innovations have changed the world stock market considerably. To test the impact in the Romanian stock market from these developments a number of different time series models are proposed in an attempt to clarify whether or not the Romanian stock market has been adjusted accordingly and to forecast the series. The proposed model is an ARIMA (p,d,q) process fitting the data very well. The results indicate that the Romanian stock market went through a significant structural change during the study period.


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