THE CORRELATION BETWEEN THE MARKET RISK AND THE LIQUIDITY RISK IN THE ROMANIAN BANKING SECTOR

A series of studies on liquidity management have appeared during the financial crisis, many of them comparing the funding liquidity with the market liquidity. The paper offers a dynamic image about the liquidity in the Romanian banking sector and its integration with the market risk, comparing the Value at Risk approach with the Liquidity at Risk approach. The research also wants to highlight the most significant features to consider in order to implement an effective liquidity risk management and to achieve a more integrated supervisory framework.liquidity risk, market crisis, liquidity limits, Value at Risk, Liquidity at Risk

Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market

Romanian currency market considering the episodic character of linear and/or nonlinear dependencies, between 1999 and 2008. The main conclusion is that profitability of moving average strategies is not constant over time and that is mainly due to linear and nonlinear episodic dependencies. The trading rule profits did not declined over time in the case of the Romanian currency market. Exploring the causes of profitability, it was found that it was closely related to the intensity of manifestation of episodic linear and nonlinear dependencies, the state of the market, and it was not the result of a time varying risk premium. The empirical results are consistent with the Adaptive Markets Hypothesis (Lo, 2004), but not with the Efficient Market Hypothesis.technical analysis, exchange rate, random walk, episodic dependencies, bicorrelation test

Stock Markets and their informational inefficiencies - the BSE case

The paper deals with the issue of stock market informational inefficiency differentiating between the main signals which indicate inefficiency manifestation within these markets. We discuss two main sources of inefficiency, price momentum and the mean reverting process, insisting on the causes of these departures. Also, we discuss the main stock market seasonal anomalies (the January effect, week end effect and the holiday effect) in the same time with those related tot the issuers’ characteristics (the size effect, value and growth stocks) keeping in touch with the main empirical results found in the case of the Bucharest Stock Exchange (BSE). In the end, the prediction capacity of different indicators to foresee future price evolution is carefully analyzed.stock market, informational inefficiencies, efficient market, seasonal anomalies

The impact of banks' financial statements publication on their market capitalization (The B.S.E. Case)

Conceived as an empirical study, the paper investigates investors’ behavior as a reaction to the publication of financial statements by the three commercial banks listed on Bucharest Stock Exchange (B.S.E.): BRD, BCC and TLV. Starting from the general framework of an event study analysis (ESA), the empirical research is doubled by two personal contributions to the ESA methodology represented by a parameters’ generalization module and one for optimizing internal variables. This modified methodology was run using personally-developed software (EvStud1.1), the main conclusion, inferred from a sample of 54 events, being the significant impact of financial statements’ publication on banks’ stock prices.financial statement, market capitalization, stock price, event study methodology

THE ANALYSIS OF THE RELATION BETWEEN THE EVOLUTION OF THE BET INDEX AND THE MAIN MACROECONOMIC VARIABLES IN ROMANIA (1997-2008)

Starting from the conclusions which result from conducting some similar empirical studies on the great stock markets, in this work, we have set as our goal to analyze the return series behaviour of the main index of the Bucharest Stock Exchange (BSE) - the BET index, during different periods of time, compared to the evolution of some macroeconomic variables, like interbank interest rates, inflation rate or unemployment rate. The results confirm that there is a weak relation between these variables, in what monthly data are concerned.stock market, macroeconomic variables, empirical study

Profitability of the moving average strategy and the episodic dependencies : empirical evidence from European stock markets

Numerous recent studies are emphasizing the existence of different stock price behaviors, namely long random walk sub periods alternating with short ones characterized by strong linear and/or nonlinear correlations. All these studies suggest that these serial dependencies have an episodic nature. In this paper we investigate the profitability of an optimum moving average strategy selected from 15,000 combinations on the main European capital markets considering the episodic character of linear and/or nonlinear dependencies, the period under study being 1997-2008. The empirical results are consistent the assumptions made by the Adaptive Markets Hypothesis (AMH) of Lo (2004) regarding the fact that profit opportunities do exist from time to time. More than that, the paper proves that the profitability of those strategies is mainly due to nonlinear episodic dependencies.peer-reviewe

Investment Patterns on Emerging Stock Markets

The globalization improves the prospects for the emerging markets to attain an economic development level comparable with that of industrialized countries. Without ignoring the specific policies concerning the openness degree, globalization might increase capital and technology flows towards these markets, thus generating a higher income rate growth than would be possible in a less integrated world economy. An important role in this capital stream is played by the investments made in emerging markets, process which continues to sustain a high interest from the behalf of equity funds (private or not) around the world. The paper analyzes the main aspects related to this kind of investments such as: ways to recognize an emerging market, arguments and counterarguments for these investments, new trends, capital flow related problems, the role played by the privatization and, finally, instructions for building an emergent market portfolio

Investment Patterns on Emerging Stock Markets

The globalization improves the prospects for the emerging markets to attain an economic development level comparable with that of industrialized countries. Without ignoring the specific policies concerning the openness degree, globalization might increase capital and technology flows towards these markets, thus generating a higher income rate growth than would be possible in a less integrated world economy. An important role in this capital stream is played by the investments made in emerging markets, process which continues to sustain a high interest from the behalf of equity funds (private or not) around the world. The paper analyzes the main aspects related to this kind of investments such as: ways to recognize an emerging market, arguments and counterarguments for these investments, new trends, capital flow related problems, the role played by the privatization and, finally, instructions for building an emergent market portfolio.emerging markets; capital flows; privatization; portfolio selection.

Stock returns and their probabilistic distribution (the Bucharest Stock Exchange case)

Based on a long series of papers analyzing stock returns behavior we can speak generally about the stock exchange as a speculative market in the sense of the stable paretian hypothesis. Still, there are significant differences from a market to another and in many cases biases from normality are too insignificant in order to justify a radical change of approach. This radical change is less needed especially when the aggregating interval of price changes gets big enough, for example if we speak about weakly or monthly returns, cases in which the non normality hypothesis can be accepted in a comfortable way