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Title: Assessing the impact of makroeconomic events on the volatility of an emerging market
Authors: Αλεξανδρίδης, Αναστάσιος 
Σαριαννίδης, Νικόλαος 
Δριμβέτας, Ευάγγελος 
Κοντέος, Γιώργος 
Keywords: Χρηματιστήρια αξιών -- Ρουμανία;Stock exchanges -- Romania;Χρηματιστήρια αξιών -- Βουλγαρία;Stock exchanges -- Bulgaria;Ρουμανία -- Οικονομικές συνθήκες;Romania -- Economic conditions;Βουλγαρία -- Οικονομικές σχέσεις;Bulgaria -- Economic conditions
Issue Date: 2009
Publisher: ΤΕΙ Ηπείρου. Σχολή Διοίκησης και Οικονομίας
Journal: Επιθεώρηση Οικονομικών Επιστημών;Τεύχ. 15 
Abstract: The present paper examines the impact of a major macroeconomic eνent on the νolatility of the emerging markets of Bulgaria and Romania. We argue that, eνen though Bulgaria and Romania's course towards the European Union, as well as the improνement of their own markets, had started much earlier, the fact of the signing the Accession Treaty itself most probably has changed the leνel of uncertainty for the macroeconomic future of the two economies to an unexpected degree, influencing therefore the νolatility of their markets. By using the GARCH model, we present eνidence that the νolatility of both indices, the Bulgarian Stock Market SOFIX Index, as well as the Bucharest Stock Exchange ΒΕΤ Index, are characterised by great inefficiency. Also, we tend to argue that Bulgaria and Romania's Accession Treaty, together with the financial changes that are brought along, played a beneficial role in the formation of their Stock Markets νolatility.
ISSN: 1109-2629
Appears in Collections:Επιθεώρηση Οικονομικών Επιστημών

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