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
Authors
C. Pop
C. Vamoș
-Tiberiu Popoviciu Institute of Numerical Analysis, Romanian Academy
M. Crăciun
-Tiberiu Popoviciu Institute of Numerical Analysis, Romanian Academy
C. Curutiu
Faculty of Business Babes-Bolyai University, Cluj-Napoca, Romania
Keywords
Capital market; Financial investment companies; Granger-causality; Regression
Cite this paper as:
C. Pop, C. Vamoş, M. Crăciun, C. Curutiu, Is Bucharest Stock Exchange Influenced by the Five Traded Financial Investment Companies?, Proceedings of the IASK International Conference Global Management 2009, Seville, Spain, June 22-24, ISBN: 978-989-95806-9-5, pp. 603-613.
References
see the expansion block below.
About this paper
Journal
Ekonomiski vjesnik econviews
Publisher Name
DOI
Print ISSN
0353-359X
Online ISSN
1847-2206
MR
?
ZBL
?
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[43] Wermers, R., Wu, Y., Zechner, J., 2007, Portfolio Performance, Discount Dynamics, and the Turnover of Closed-End Fund Managers, http://www.bus.wisc.edu/finance/workshops/documents/Youchang-Wu101207.pdf
'%3E%0A%3Cpath d='M65 71.2H671.3' class='g0'/%3E%0A%3C/g%3E%0A%3C/svg%3E)
IS BUCHAREST STOCK EXCHANGE
UNDER THE INFLUENCE OF
THE FIVE TRADED FINANCIAL
INVESTMENT COMPANIES?
Abstract
e 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). e Financial
Investment Companies were introduced at Bucharest Stock Exchange listing in November 1999 and since
November 2000 they have a dedicated index, BET-Fi. e 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.
Key words
capital market, financial investment companies, Granger-causality, regression
Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
UDK 336.76(498)
Prethodno priopćenje
Cornelia Pop
Faculty of Business
Babes-Bolyai University, Cluj-Napoca, Romania
Calin Vamos
‘T.Popoviciu’ Institute of Numerical Analysis, Romanian
Academy
Maria Craciun
‘T.Popoviciu’ Institute of Numerical Analysis, Romanian
Academy
355
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1. Introduction
SIFs is the abbreviation for the Romanian
name ‘Societati de Investitii Financiare’ of the five
Romanian Financial Investment Companies. eir
existence started in November 1, 1996 when the Law
no. 133/ 1996 was issued and decided the transfor-
mation of the former five Private Property Funds in
SIFs
1
.
e creation of SIFs also generated the incorpo-
ration of these new five investment companies. Due
to the fact that they became public limited compa-
nies which have under their management portfolios
of assets (mainly Romanian shares), SIFs can be
considered closed-end funds – sub-type: equity
fund. e current Romanian regulations
2
consider
them as being ‘other undertakings for collective
investment in transferable securities’ (in Romanian
‘alter organism de placement collective’) while the
term closed-end funds is seldomly used in Romania.
eir presence as listed companies at Bucharest
Stock Exchange (BVB
3
from now on) started in
November 1, 1999 and since then SIFs got a special
position on the BVB main market, concentrating
investors’ attention. e paper will present further
the SIFs peculiar position at BVB and will try to
determine if they have an influence on BVB as a
whole.
2. Review of literature
1 The 5 Private Property Funds (PPFs) were created by and
functioned under the Law no. 58/ 1991. They were part of the
privatization process in Romania. According to the Law no. 58/
1991, to the each of the 5 PPFs a number of Romanian companies
were allocated. The PPFs were allowed to own maximum 30% of
the allocated companies’ shares. The 5 PPFs were formed based
on the regional concentration of allocated companies. Until Oc-
tober 1996, there were: PPF1 Banat-Crisana, PPF2 Moldova, PPF3
Transilvania, PPF4 Muntenia and PPF5 Oltenia. In November
1996, the PPFs were transformed as follow:
PPF1 became SIF1 Banat-Crisana
PPF2 became SIF2 Moldova
PPF3 became SIF3 Transilvania
PPF4 became SIF4 Muntenia
PPF5 became SIF5 Oltenia.
2 As the Law no. 297/ 2004 and the Regulation no. 15/ 2004, is-
sued by Romanian National Securities Commission, present SIFs.
3 BVB is the abbreviation for Bursa de Valori Bucuresti (Bucha-
rest Stock Exchange) and was chosen for use in order to avoid
any confusion with Budapest Stock Exchange or Bulgarian Stock
Exchange.
e international literature regarding closed-end
funds is concentrated mostly around their puzzled
anomaly: the closed-end fund discount.
A large number of scientific papers discuss the
causes and the factors responsible for the closed-
end fund discounts/ premia; among them Rozeff
[1991], Gemmill and omas [2000 and 2004],
Cherkes [2001 and 2003], Wang [2003], Bleaney
and Smith [2003 and 2008], Berk and Stanton [2004
and 2007], Malkiel and Xu [2005], Brenan and Jain
[2007], Wermers et al. [2007], Chang et.al [2008],
Manzler and Slezak [2008].
All the studies mentioned above analyse closed-
end funds traded on United States, United Kingdom
and, recently, Mainland China stock exchanges.
Another, however smaller, category of studies try
to explain the role of market sentiment in relation
with the closed-end fund discounts/ premia: Brauer
[1993], Bodurtha et.al [1993], Gemmill and omas
[2000], Doukas and Milonas [2004].
Other studies are concentrated on the analysis
of closed-end fund discounts behavior, closed-end
fund share prices and returns behaviour De Long
and Shleifer [1990], Weiss et al. [1995], Spiegel
[1999], Kellerhals and Schoebel [2000], Fuertes and
omas [2004], Flynn [2006], Lee et al. [2005],
Cherkes et al. [2006], Branch et al. [2007].
e above mentioned issues regarding closed-
end funds are under scrutiny when considering
only emerging markets closed-end funds or single
country closed-end funds, also traded mainly in the
United States and the United Kingdom: Bekaert et
al. [1995], Kramer and Smith [1995], Levy-Yeyati and
Ubide [2000], Jain et al. [2004], Chan et al. [2005],
Nishiotis and Markis [2006], Ismailescu [2007].
Only one paper of the reviewed literature, Jindri-
chkoska and Rhys [2000], discuss the role of closed-
end funds (of a peculiar form) in Czech Republic
privatization process.
We could not find other studies on closed-end
funds traded on a small emerging market – like the
case of Romania – which manage mostly domestic
assets and having an influence that can be conside-
red important on the stock market evolution.
While in the printed media articles about SIFs
could be found frequently, Romanian academic
Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
356
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Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
literature contain only several papers (only 3 could
be identified) investigating SIFs in details. e paper
wrote by Dima et al. [2002] deals with informational
asymmetry of SIF’s quotas - an empirical approach,
and concluded that the evolution of SIFs quotas is
subject of an important asymmetry induced by the
impact of changes in the information provided on
the financial market by different operators, asym-
metry which leads to a substantial volatility of cu-
rrent and expected level of quotas. e paper wrote
by Pop et al. [2005] investigated several aspects
of SIFs evolution in Romania and one interesting
conclusion was the fact that the SIFs contribution
to BVB development was important (for the period
under analysis); their listing at BVB triggered a big-
ger interest for the Romanian main stock exchange.
is conclusion could be maintained even if the
Granger test (performed on the series of data until
July 2005) was not conclusive.
e paper wrote by Paun [2006] is available only
in Romanian and deals with measurement of SIFs
performances using Morningstar model. While the
model generated good results when only one SIF
was selected, it did not answer the question regar-
ding multiple choices among SIFs.
e present paper continues the investigation
started by Pop et al. [2005] and developed by Pop et
al. [2009].
3. SIFs Evolution
Since the beginning of their existence, SIFs situa-
tion was peculiar [Apostu, 1998]:
» they inherited the portfolios owned by the former
PPFs which had no possibility to choose the com-
panies they owned; their portfolio structure was
heavily influenced by the Romanian complicated
privatization process; in November 1996, the SIFs’
portfolio structure was still under discussion and
negotiation with the State Ownership Fund;
» they had a large number of shareholders (over 5 mi-
llion each) and two ‘sources’ for these shareholders:
those who subscribed since the beginning at PPFs
and those added (some of them during 1997 and
others in 1998) as a result of countless alterations to
the laws and regulations concerning the Romanian
privatization process. Many of these investors didn’t
even know they were SIF’s shareholders. ere were
also many changes in the investors’ data (e.g. changes
of names and addresses, deaths etc.) which were not
tracked.
During 1997 and 1998, the SIFs administra-
tors had the difficult tasks to identify all their
shareholders and to solve the situation of their
portfolios (which included hundreds of privatized
companies)
4
.
It was stated that the complexity of SIFs needed
a special regulation, but until 2004 no distinct
regulation was issued for SIFs, while different laws
and regulations issued by the Romanian National
Securities Commission dedicated special chapters
to SIFs. At the present moment the Law 297/ 2004,
which also has a special section dedicated to SIFs,
was modified by the Law 208/ 2005, by the Gover-
nment Ordinance no. 41/ 2005 and by the Law 97/
2006. e last two regulations were focused mainly
on the maximum number of shares that can be
owned at SIFs by anyone established at 1% of the
total issued shares which became effective since
November 2006
5
.
Due to the important number of shareholders,
there was a constant pressure for SIFs to be listed at
BVB. SIFs listing at BVB first tier
6
started November
1
st
1999 - 3 years to the date they were created.
4. SIFs Position at BVB
Despite the limit imposed for shares ownership
and their blurry image created by the lack of clear
regulations and transparency, SIFs were considered
interesting investment alternatives by an important
number of investors. SIFs position and importance
at BVB are reflected by the figures presented in
tables 1, 2 and 3.
4 The process of compensating the SIFs’ portfolios took place in
1997 and 1998. Only at the beginning of 1999, through a Govern-
ment Emergency Ordinance no.54/ 1998, the situation of SIFs
portfolios was clarified.
5 Previously the maximum number of shares that could be
owned at a SIF by a person was 0.1%. Since June 2009 new
discussion arises in order to increase the level for the maximum
number of shares allowed to be owned in SIFs to 10%. During
February 2010 the proposal was discussed in several Government
Commissions; the decision was postponed in order to asses its
implications.
6 First tier is the official name BVB used to designate its first
category, were the best Romanian companies are listed.
357
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e importance of SIFs in BVB’s capitalization
was diminished only during 2004, when the BVB as
a whole registered an important growth – triggered
by the interest of, mainly, foreign investors/ foreign
investment funds for a country expected to become
in a near future an European Union member. e
second – and very sharp decrease – was registe-
red in 2008, when the financial crisis had a severe
influence on SIFs. e year 2009 is still under the
influence of the financial crisis. SIFs’ introduction
at BVB quote for transactions had an important
impact on the Romanian stock exchange activity
in 1999 and 2000 and also in 2005, 2006 and 2007,
when SIFs represented over 10% of total capitaliza-
tion.
SIFs transactions have an important position
inside BVB equity market – representing almost
50% of total number of trades and around 40% of
total traded value - and even more important inside
the 1
st
category – where SIFs concentrate around
62% of total trades and 48% of total value. When
the average figures per day are analyzed, SIFs trades
are at 56% of BVB’s total number of trades/ day and
around 46% of daily transaction value at BVB.
Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
TABLE 1: SIFs’ CAPITALIZATION AS OF DECEMBER (MILLION EUR) AND % OF BVB’s CAPITALIZATION
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
SIFs’ Capi-
talization
(mil.EUR)
65.9 68.1 125.5 236.9 268.1 612.7 1783.4 2524.8 3076.9 436.5 776.7
% of BVB
Capitaliza-
tion
17.41 14.18 9.22 8.95 8.96 6.96 11.65 11.79 12.51 3.75 4.08
Source: BVB data, www.bvb.ro
TABLE 2: SIFs’ POSITION IN TOTAL BVB AND 1
st
CATEGORY TRANSACTIONS (AVERAGE FIGURES
FOR NOV.1999-DEC.2009)
% of total BVB % of 1st cat-
egory
Number of
trades
49.66% 62.13%
Volume 29.17% 44.91%
Value 40.14% 48.48%
Source: own calculations based on BVB data
TABLE 3: SIFs DAILY ACTIVITY COMPARED WITH
BVB (NOV.1999-DEC.2009)
BVB total SIFs
Average number
of trades per
day
49.66% 62.13%
Average volume
per day
(mil. shares)
29.17% 44.91%
Average value
per day
(mil. EUR)
40.14% 48.48%
Source: own calculations based on BVB data
358
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Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
5. SIFs Price/ Eearnings Ratio (PER) and Di-
vidend yield (DIVY) compared with BVB as a
whole
e following tables will present the evolution of
PER and DIVY for the five SIFs and for BVB.
78
As it can be observed in Table 4, in 2005 and
2006 SIFs reached their pick from PER point of
view, while the financial crisis brought them at the
level of 2000-2002.
For 2000 and 2001, DIVY for SIFs was excep-
tional due to the low level of market prices and a
relative high level of dividend, transforming SIFs in
investments that paid regular and consistent divi-
dends. e level of dividend/ share did not change
7 For the calculations above it was used the price of the last
trade recorded in the Regular market segment. The net income
used to calculate PER is as the last 4 quarters.
8 For the calculations above it was used the price of the last
trade recorded in the Regular market segment. The net income
used to calculate DIVY is as the last 4 quarters.
significantly during the years (table 5). e DIVY
level for 2008 is generated by the price decrease un-
der the influence of the financial crisis. e level of
2009 went back to the level of 2005 due to increase
in SIFs prices. However, SIFs reputation – gained
between 2000 and 2003 – as consistent dividend
payers - can be considered one of the factors that
maintained investors’ interest at important level.
6. Performances registered by SIFs
In table 6 SIFs performances are measured aga-
inst the inflation rate, against the average interest
rate for bank deposits and also against the oldest
BVB index – BET (Bucharest Exchange Trading) –
calculated since September 1997. It can be conside-
red a blue chip index since it includes in its portfolio
the best 10 listed companies, most of them traded
inside the 1st category. BET portfolio does not
TABLE 4: PER
7
for BVB and SIFs (AS OF DECEMBER OF EVERY YEAR)
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
BVB 8.8 3.9 4.9 9.1 13.1 35.2 24.1 18.0 19.2 4.1 14.4
SIF1 2.2 3.3 3.5 6.8 7.9 13.2 33.4 20.4 27.6 2.3 5.2
SIF2 1.9 3.4 4.5 4.6 6.8 9.6 25.5 47.4 28.0 3.3 4.7
SIF3 3.2 2.9 4.8 8.3 9.8 16.1 14.9 30.4 24.2 3.8 5.1
SIF4 2.9 2.6 4.1 8.8 8.7 12.5 32.2 16.9 35.8 3.7 9.8
SIF5 2.2 3.2 4.0 6.3 6.9 17.5 21.5 21.5 27.0 4.2 3.6
Source: BVB monthly reports
TABLE 5: DIVY
8
(%) at BVB level and SIFs (AS OF DECEMBER OF EVERY YEAR)
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
BVB 7.84 7.48 6.70 4.97 2.00 1.45 0.94 1.72 2.18 8.57 2.81
SIF1 n/a 20.97 19.05 10.82 9.30 5.78 2.04 1.53 1.69 12.84 2.65
SIF2 n/a 25.81 19.46 12.94 14.10 6.81 2.67 2.05 1.81 9.43 3.95
SIF3 n/a 22.15 17.39 9.14 8.68 4.04 3.10 1.68 0 13.79 4.41
SIF4 n/a 35.90 17.89 10.68 10.67 7.26 2.92 1.03 2.90 11.20 5.63
SIF5 n/a 17.86 18.10 11.76 10.00 4.25 2.53 1.70 1.61 13.33 4.72
Source: BVB monthly reports
359
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include any SIFs. Due to the fact that its portfolio
structure includes companies that concentrate the
10 most liquid companies at BVB, and its portfolio
structure influences the index BET-C(omposite)
9
,
for the present paper, BVB is considered to be
represented by the BET index.
For SIFs, a sector index, BET-Fi, was introduced
since November 1
st
2000 (a year after SIFs start
trading). Its portfolio consists only of SIFs and their
importance inside the index is approximate the
same, of 20%.
In the table below, the DIVY was ignored, since
BET and BET-Fi do not include the dividends in
their calculations. e rates of returns are based
on closing figures for indexes and closing prices for
SIFs.
When analyzing the performance of SIFs they
generated important returns – above the inflation
rate and bank deposits interest rates – between
2001 and 2007. But, as expected, the market decline
from 2008 had a higher impact on SIFs due to their
increased level of volatility (see table 7) compared to
9 For details regarding BET and BET-C portfolio, the following
link can be used: http://www.bvb.ro/IndicesAndIndicators/indi-
ces.aspx?t=0&m=BSE&i=bet&o=&d=4/10/2009
the BVB as a whole. From the table 6 above it can be
deduced that BET-Fi either anticipated or evolved
in correlation with BVB. When annual returns
generated by SIFs are under scrutiny, they show
important growth in share prices between 2000 and
2006. However 2006 shows relative modest results
compared with precedent years – mainly due to a
lot of media news concerning the 1% limit regarding
SIFs share ownership and the way this limit was to
be applied.
During 2007 – influenced by the information
on the problems regarding sub-prime lending and
real estate market decline in the USA – SIFs results
are mixed. e sharp decrease in SIFs performan-
ces during 2008 was generated by the influence
of the international financial crisis. However, 4 of
SIFs recuperated all the sharp decrease of the 2008
during 2009.
As the data presented above show, SIFs position
inside BVB, mainly inside its 1st category, is a strong
one and support mainly media news general opini-
on which considered SIFs as ‘a motor that stimula-
ted BVB’s transactions’.
Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
TABLE 6: BVB EQIUTY MARKET PERFORMANCES
Inflation
rate (%)
Average
interest
rate for
bank
deposits
(%)
BET
annual
return
(%)
BET-FI
annual
return
(%)
SIF1
annual
return
(%)
SIF2
annual
return
(%)
SIF3
annual
return
(%)
SIF4
annual
return
(%)
SIF5
annual
return
(%)
1999 45.8 45.40 15.21 n/a n/a n/a n/a n/a n/a
2000 45.7 32.44 18.25 n/a 57.11 48.83 20.00 -7.27 34.94
2001 34.5 26.16 35.71 109.92 90.91 133.33 100.00 132.08 107.14
2002 22.5 18.39 117.52 113.14 129.32 114.29 107.14 108.66 105.65
2003 15.3 10.78 27.13 24.72 32.31 10.91 40.32 26.79 9.09
2004 11.9 11.34 93.15 106.94 84.44 137.71 139.08 58.90 176.19
2005 9.00 8.34 42.47 151.32 173.74 183.02 82.61 169.29 169.11
2006 6.56 6.51 18.09 24.66 29.90 37.98 33.04 1.66 28.83
2007 4.84 6.70 16.29 14.95 0 -1.14 -29.70 21.72 13.16
2008 7.85 9.55 -69.68 -83.62 -84.20 -84.18 -88.07 -73.29 -86.20
2009 5.59 11.89 57.20 83.33 94.83 107.27 135.29 13.60 106.50
Source: BVB data and Romanian National Bank data
360
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Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
7. Do SIFs Influence BVB?
To answer this question only BET – the oldest
and most watched index at BVB – was chosen.
Another reason for concentrating the analysis on
BET was the fact that 3 the companies which have a
weight of over 10% in BET portfolio, also dominate
BET-C index.
Table 7 presents the descriptive statistics for BET
and BET-Fi daily returns and for SIFs daily returns.
It must be mentioned that further analysis were
made only over the 2270 observations when the se-
ries of data were available for both indexes, covering
the period between November 2000 and December
2008. e kurtosis on both indexes is bigger than 3,
indicating important fat tails which are common in-
side return series for market indexes. e skewness
indicates relative symmetrical distributions around
the mean.
Accordingly with the performances presented
in tables 6, BET-Fi presents a higher average daily
return and the risk associated with its portfolio of
SIFs is higher than the risk of BET portfolio.
Note: SIFs were observed for a longer period, of
1 year, since November 1999, while BET-Fi and BET
were taken into consideration only since November
2000.
When the simple correlation results between
daily indexes returns is observed (table 8), they
show an important level of correlation for the entire
period under scrutiny (Nov. 2000 – Dec. 2009),
with mixed results between 2001 and 2004 and an
important level of correlation between 2005 and
2009, the highest correlation being reached during
the turbulences of 2008.
For further analysis a simple regression was used,
with BET as the dependent variable and BET-Fi as
independent variable, with the general equation:
BET = a + b * BET-Fi
Using the regression with daily returns of BET as
dependent variable, P-value is less than 0.01 confir-
ming that there is a statistically significant relation-
ship between BET and BET-Fi at a confidence level
of 99%. R-squared explains 41.794% of the variability
in BET daily returns.
When the regression was applied for two sub pe-
riods: Nov. 2000 – Dec. 2004, respectively Jan. 2005
- Dec. 2009, for the first period – in concordance
with the mixed results generated by the simple
correlation – R-squared explains 12.641% of BET
variability, while for the second period R-squared
explains 94.149% of BET variability.
TABLE 7: DESCRIPTIVE STATISTICS FOR BET AND BET-Fi DAILY RETURNS
BET BET-Fi SIF1 SIF2 SIF3 SIF4 SIF5
Number of
data
2270 2270 2522 2522 2522 2522 2522
Mean 0.113 0.177 0.203 0.220 0.181 0.170 0.202
Standard
deviation
1.811 2.739 3.467 3.708 3.647 3.467 3.512
Kurtosis 7.014 4.625 25.769 20.283 38.604 30.652 24.242
Skewness -0.067 0.222 1.596 1.140 0.391 1.720 1.474
Largest (1)
(%)
15.692 14.624 52.941 52.284 54.667 55.405 52.688
Smallest (1)
(%)
-12.293 -14.850 -15.000 -24.000 -49.885 -20.430 -22.535
Source: based on BVB data
361
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From these results only, it can be concluded that
BET variability was influenced by BET-Fi, mainly
between 2005 and 2009.
A Granger-causality test was also performed in
order to determine if BET-Fi can be considered a
market index leader for BVB, represented by BET
index. e test used the returns of the two indexes
calculated for intervals of 10 days, 22 days (about 1
month trading period), 44 days (about 2 months)
and 66 days (about 3 months) between Nov. 2000
and Dec. 2008 and between Nov. 2000 and Dec.
2009.
A more complex analysis was performed by
Canegrati [2008] in its paper “In Search of Market
Index Leaders: Evidence from World Financial Mar-
kets”. e above mentioned research generated the
idea to perform a similar test on Romanian capital
market, BVB.
e following tables present the marginal
probabilities that the variables on the rows are not
‘Granger causal influenced’ by the variables on
columns calculated with the help of an F-test for the
coefficients of VAR (Vector Autoregression Model).
We have used the MATLAB programs described by
LeSage [1999], chap. 5. When the marginal proba-
Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
TABLE 8: CORRELATION BETWEEN BET AND BET-Fi BASED ON DAILY RETURNS
Entire
period
2001 2002 2003 2004 2005 2006 2007 2008 2009
0.647 0.291 0.406 0.559 0.240 0.653 0.591 0.690 0.875 0.768
Source: based on BVB data
TABLE 9: VARIATION INTERVAL FOR 10 DAYS – GRANGER CAUSALITY PROBABILITIES
BET BET-Fi – until Dec.2008 BET-Fi – until Dec.2009
BET 0.00 0.01 NaN
BET-Fi NaN 0.00 0.00
TABLE 10: VARIATION INTERVAL FOR 22 DAYS – GRANGER CAUSALITY PROBABILITIES
BET BET-Fi – until Dec.2008 BET-Fi – until Dec.2009
BET 0.00 0.04 0.10
BET-Fi NaN 0.00 0.00
TABLE 11: VARIATION INTERVAL FOR 44 DAYS – GRANGER CAUSALITY PROBABILITIES
BET BET-Fi – until Dec.2008 BET-Fi – until Dec.2009
BET 0.00 0.00 0.01
BET-Fi NaN 0.00 0.00
TABLE 12: VARIATION INTERVAL FOR 66 DAYS – GRANGER CAUSALITY PROBABILITIES
BET BET-Fi – until Dec.2008 BET-Fi – until Dec.2009
BET 0.00 0.04 0.08
BET-Fi NaN 0.00 0.00
362
Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
bilities are greater than 0.1, they are suppressed and
NaN (no Granger causality exists) appears in the
tables. Hence the inferences are drawn on the basis
of a 90% confidence level.
As the data from the tables 9 to 12 show, the
BET-Fi returns Granger-cause BET returns – with
probabilities ranging between 96% and 100% (for
44 days) for the period Nov. 2000 to Dec. 2008 and
with probabilities ranging between 92% and 96%
for the period Nov. 2000 to Dec. 2009, while BET
returns do not Granger-cause BET-Fi returns.
e results of these tests confirm the hypothesis
that BET-Fi can be considered a BVB index leader
and it is consistent with the data generated by the
regression test and with the data presented in the
first part of this paper which showed the importan-
ce of SIFs inside BVB.
8. Conclusions
BVB (Bucharest Stock Exchange) can be consi-
dered a small emerging market. After a weak and
unconvincing evolution between November 1995
(when BVB opened for transactions) and October
1999 – due to the inherent beginning and to the
indirect influences of 1997 Asian crisis and 1998
Russian crisis – BVB attractiveness grew, first for
domestic investors, since SIFs start trading in No-
vember 1999 and later for foreign investors.
e importance of SIFs in BVB’s activity is
highlighted through tables 1, 2 and 3. SIFs repre-
sent – in average – 9.95% of BVB capitalization
between the end of 1999 and the end of 2009. Also
SIFs concentrated – in average, for the same period
– around 50% of BVB trades, around 29% of BVB
volume and around 40% of BVB trading value.
e attractiveness of SIFs for investors is presen-
ted in tables 4 and 5. With PERs under BVB level,
DIVY above market level and returns that overpa-
ssed or almost equal with BVB returns, SIFs were
constantly watched by investors.
Due to this important position SIFs gained inside
BVB tradings, it was only natural to ask if they have
an influence over BVB evolution.
In the last section of the current paper we
showed through combined correlation, regression
and Granger-causality analysis the fact that BET-Fi
might have a direct influence on BVB represented
by BET index. is conclusion is supported also
by the results of the simple correlation, presented
above.
Due to the fact that BET-Fi portfolio is formed
by SIFs only, those companies have a combined
influence on BET.
To this conclusion it must be added the following
observation: during the last 2-3 years, SIFs had only
minority ownership in 1 to maximum 3 companies
included in BET index portfolio.
Further and more detailed analysis is needed
for a better highlight of this influence and to show
which of the SIFs might be considered the market
leader, with the highest influence on BVB’s activity.
363
Cornelia Pop, Calin Vamos, Maria Craciun: Is Bucharest Stock Exchange under the influence of the five traded Financial Investment Companies?
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Cornelia Pop
Ekonomski fakultet, Sveučilište Babes-Bolyai, Rumunjska
Calin Vamos
'T. Popoviciu' Institut za numeričku analizu, Rumunjska Akademija
Maria Craciun
'T. Popoviciu' Institut za numeričku analizu, Rumunjska Akademija
Je li burza u Bukureštu pod utjecajem pet financijskih
investicijskih tvrtki koje kotiraju na burzi?
Sažetak
Cilj ovoga rada je odrediti je li djelovanje burze u Bukureštu pod utjecajem pet financijskih investicijskih
tvrtki (naziv im je ‘Societati de Investitii Financiare’ ili SIF-ovi) čijim se dionicama na ovoj burzi trguje. Te
su tvrtke uvedene u kotaciju burze u Bukureštu u studenom 1999. godine, a od studenoga 2000. imaju I svoj
indeks, BET-Fi. Izravna promatranja u razdoblju kotacije spomenutih tvrtki ukazuju na to da bi transakcije
u financijskim investicijskim tvrtkama mogle imati značajan utjecaj na rumunjsko tržište kapitala, odnosno,
njegove aktivnosti. U radu se analiziraju različite serije podataka pomoću regresijske analize, te Grangerov
test kauzalnosti kako bi se potvrdila ili odbacila hipoteza formulirana u naslovu.
Ključne riječi
tržište kapitala, financijske investicijske tvrtke, Grangerov test kauzalnosti, regresija
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