Direction of change at the Bucharest Stock Exchange

Lupu, Radu
Tudor, Cristiana
Publication date: 
JEL codes: 
F31 - Foreign Exchange, F37 - International Finance Forecasting and Simulation: Models and Applications, G11 - Portfolio Choice; Investment Decisions, G12 - Asset Pricing; Trading volume; Bond Interest Rates.
The objective of our paper is to analyze the possibility to provide a forecast for the sign of the financial asset returns using the empirical prices of stocks listed at the Bucharest Stock Exchange. Previous research provided by Christoffersen and Diebold (2004) among others show that even if both the sign and the absolute value of returns are deterministic, their composure (the returns them selves) do not show autocorrelations. We focus on the deterministic nature of the signs by implementing a pure empirical analysis.
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