Is Bucharest Stock Exchange under the Influence of the Five Traded Financial Investment Companies?

Abstract

The present paper will try to determine if Bucharest Stock Exchange activity is under the influence of the five traded Financial Investment Companies (called also ‘Societati de Investitii Financiare’ or SIFs). The Financial Investment Companies were introduced at Bucharest Stock Exchange listing in November 1999 and since November 2000 they have a dedicated index, BET-Fi. The direct observations made over the listing period of above mentioned companies suggested the idea that the transactions in Financial Investment Companies might have an important impact on Romanian capital market activity. Inside the current paper, authors will analyze different series of data using regression analysis and Granger-causality tests in order to confirm or reject the hypothesis formulated in the title.

Keywords

• capital market
• financial investment companies
• Granger-causality
• regression