Is Bucharest Stock Exchange Influenced by the Five Traded Financial Investment Companies?


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


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


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.



Not available yet.

About this paper


Ekonomiski vjesnik econviews

Publisher Name
Print ISSN


Online ISSN






[1] Apostu, Mioara, 1998, SIF’98: o cotare imposibila (1), Piata Financiara nr.6/ iunie 1998
[2] Bekaert, G., Urias, M.S., 1995, Diversification, Integration and Emerging Market Closed-End Funds, National Bureau of Economic Research, Working Paper No. 4990, http://ideas.
[3] Berk, J.B., Stanton, R., 2004, A Rational Model of the Closed-End Fund Discount, Hass School of Business, http://ideas.
[4] Berk, J.B., Stanton, R., 2007, Managerial Ability, Compensation and the Closed-End Fund Discount, The Journal of Finance, Vol. LXII no.2, April 2007, pp.529-556
[5] Bleaney, M., Smith, R.T., 2003, Prior Performance and Closed-End Fund Discounts, University of Nottingham Economics Discussions Paper no.03/ 16,
[6] Bleaney, M., Smith, R.T., 2008, Risk, Managerials Skills and Closed-End Fund Discounts, University of Nottingham, Discussion Papers in Economics, Paper no. 08/ 10, www. dp.08.10.pdf
[7] Bodurthta, J.N., Kim, D-S., Lee, C.M.C., 1993, Closed-End Country Funds and U.S. Market Sentiment, Review of Financial Studies 8, pp.879-918
[8] Branch, B., Ma, A., Sawyer, J., 2007, Closed-End Fund Performance on a Daily Basis: The Discovery of a New Anomaly,
[9] Brauer, G.A., 1993, „Investor Sentiment” and the ClosedEnd Fund Puzzle: A 7 Percent Solution, Journal of Financial Service Research, 1993, pag.199-216
[10] Brenan, M.J., Jain, R., 2008, Capital Gains Taxes, Agency Costs, and Closed-End Fund Discounts, EFA 2008 Athens Meetings Paper,
[11] Canegrati, E., 2008, In Search of Market Index Leader: Evidence from World Financial Markets, Online at http://mpra. Paper No. 11292, posted 29. October 2008 / 11:39
[12] Chan, J., Ravi, J., Xia, Y., 2005, Market Segmentation, Liquidity Spillover, and Closed-End Country Fund Discount,
[13] Chang, K., Kot, H.W., Li, D., 2008, Portfolio Concentration and Closed-End Fund Discounts: Evidence form the China Market, Emerging Markets Review, 2008, doi: 10.1016/j. emermar.2008.02.003
[14] Cherkes, M., 2001, The Closed-End Funds: A Misunderstood Asset, Columbia University, abstract=687821
[15] Cherkes, M., 2003, A Positive Theory of Closed-End Funds as an Investment Vehicle, pdf
[16] Cherkes, M., Sagi, J., Stanton, R., 2006, A Liquidity-Based Theory of Closed-End Funds, jacob.sagi/cefFinal.pdf
[17] De Long, J.B., Shleifer, A., The Bubble of 1929: Evidence from Closed-End Funds, 1990, National Bureau of Economic Research, Working Paper No. 3523, http://econ161.berkeley. edu/pdf_files/Bubble_1929.pdf
[18] Dima, B., Pirtea, M., Murgea, A., 2004, Informational Asymmetry of SIF’s Quotas. An Empirical Approach, The 2nd International Symposium ‘Economies and Management of Transition’, Timişoara, 7-8 mai 2004, Ed.Mirton, ISBN 973-661-333-x
[19] Doukas, J.A., Milonas, N.T., 2004, Investor Sentiment and the Closed-End Fund Puzzle: Out-of-sample Evidence, European
[20] Financial Management, vol.10, no.2, 2004, pag.235-266
[21] Flynn, S.M., 2006, Arbitrage in Closed-End Funds: New Evidence,
[22] Fuertes, A-M., Thomas, D.C., 2004, Market-Wide Shocks and Anomalous Price Behavior: Evidence from Closed-End Funds, files/Fuertes&Thomas.pdf
[23] Gemmill, G., Thomas, D.C., 2000, Sentiment, Expenses and Arbitrage in Explaining the Discount on Closed-End Funds, Cass Business School Research Paper, abstract=222448
[24] Gemmill, G., Thomas, D.C., 2004, The Impact of Corporate Governance on Closed-End Funds, http://www.efmaefm. org/efmsympo2005/accepted_papers/Gordon_Gemmill_paper.pdf
[25] Ismailescu, I., 2007, Emerging-Market Closed-End Funds: Managerial Performace and Other Factors Affecting Fund Premiums,
[26] Jain, R., Xia, Y., Wu. M.Q., 2004, Illiquidity and ClosedEnd Country Fund Discounts, http://finance.wharton.upenn. edu/weiss/wpapers/04-3.pdf
[27] Jindrichovska, I., Rhys, H., 2000, Opening-up of Investment Funds: The Case of the Czech Republic, The University of Wales, School of Management and Business, Research Paper 2000-12, research_papers/2000/rp2000-12.pdf
[28] Kellerhals, B.P., Schoebel, R., 2000, The Dynamic Behavior of Closed-End Funds and Its Implications for Pricing, Forcasting and Trading, Tuebinger Discussion Paper No.189,
[29] Kramer, C., Smith, R.T., 1995, Recent Turmoil in Emerging Markets and the Behavior of Country-Fund Discounts: Renewing the Puzzle of the Pricing of Closed-End Mutual Funds, IMF Working Paper No. 95/ 68,
[30] Lee, C-F., Patro, D.K., Liu, B., 2005, Functional Forms, Market Segmentation Pricing of Close-End Country Funds, doc
[31] LeSage, J. P., 1999, Applied Econometrics using MATLAB,
[32] Levy-Yeyati, E., Ubide, A., 2000, Crises, Contagion and the Closed-End Country Fund Puzzle, IMF Staff Papers, vol.47, no.1, 2000, International Monetary Fund, http://www.imf. org/external/pubs/cat/longres.cfm?sk=2762.0
[33] Malkiel, B.G., Xu, Y., 2005, The Persistence and Predictability of Closed-End Fund Discounts, http://www-stat.wharton.
[34] Manzler, D.L., Slezak, S.L., 2008, The Closed-End Fund Premium Puzzle and Portfolio/ Fund Risk Differences, Working Paper Series,
[35] Nishiotis, G., Markis, A.K., 2006, The Forecasting Power of Emerging Market Closed-End Fund Discounts and Capital Market Segmentation, University of Cyprus, Working Paper Series,
[36] Paun, C., 2006, Modelul Morningstar de evaluare a performantei portofoliilor financiare.Testarea modelului pe SIF-uri, Jurnalul economic, June 2006, pp.70-77
[37] Pop, C., Calugaru, Adina, Balgaradean, Mihaela, 2005, Romanian Closed-end Funds – An Overview, Studia Negotia nr.2/ 2005, pp.107-134
[38] Pop, C., Vamos, C., Craciun, M., Curutiu, C., 2009, Is Bucharest Stock Exchange Influenced by the Five Traded Financial Investment Companies, in Proceedings if the IASK International Conference Global Management, Pedro Soto Acosta (ed), ISBN 978-989-95806-9-5, Seville, Spain, 22-24 June, IASK
[39] Rozeff, M. S., 1991, Closed-End Fund Discounts and Premiums, Pacific-Basin Capital Market Research, vol.2, 1991
[40] Spiegel, M., 1999, Closed-End Fund Discounts in a Rational Agent Economy, wuwpfi/9712002.html
[41] Wang, Z.J., 2003, Dividend Commitment and Discount Management: The Distribution Policy of Closed-End Funds, (Job Market Paper), doc/JobMarketPaper-Wang.pdf
[42] Weiss Hanley, K., Lee, C.M.C., Seguin, P.J., 1994, The Marketing of Closed-End Fund IPOs: Evidence From Transactions Data, The Warton Financial Institutions Center, Working Paper 94-21,
[43] Wermers, R., Wu, Y., Zechner, J., 2007, Portfolio Performance, Discount Dynamics, and the Turnover of Closed-End Fund Managers,



Related Posts