The Bucharest Stock Exchange case: Is BET-FI an index

Transcription

RESEARCH
The Bucharest Stock Exchange case:
Is BET-FI an index leader for the oldest indices
BET and BET-C?
Cornelia Pop
ABSTRACT
Department of Business, Faculty of Business
Babes-Bolyai University, Cluj-Napoca, Romania
The current paper provides an inside-out view regarding the internal
Dragos Bozdog
Stevens Institute of Technology
Hoboken, New Jersey, USA
Adina Calugaru
MarketAxess
New York, USA
leader. Thus, we applied the idea at Bucharest Stock Exchange level
considering the three oldest indices (out of the seven currently reported
limited to the six components of BET-FI portfolio constituents. Based on
of BET-FI portfolio.
KEYWORDS |
INTRODUCTION
The term ‘frontier markets’ was introduced at International
Monetary Fund in 1992 and describes a subset of smaller,
CORRESPONDING AUTHOR
Cornelia Pop
Faculty of Business
Babes-Bolyai University, Cluj-Napoca, Romania
cornelia.pop@tbs.ubbcluj.ro
International Business : Research, Teaching and Practice | 7.1
subgroup was seldom considered distinctly by academic studies
until 2007. The growing focus on the research of frontier markets
index dedicated to frontier markets by Standard & Poor’s. The
increasing level of interest toward frontier markets is caused by
the general expressed idea that these frontier markets are the next
35
RESEARCH
Pop, Bozdog, Calugaru | The Bucharest Stock Exchange case
emerging markets, having an important growth potential and providing interesting
investment opportunities. The attractiveness of the frontier markets is represented by
higher returns when compared with developed and emerging markets, and provides a
as expected, with higher levels of risks of various types.
the low correlation and the low integration of frontier markets with world markets.
in a careful manner. For the combination of 8 emerging and frontier markets from
crisis had a higher contagion effect on frontier markets than on emerging markets.
frontier markets under scrutiny.
The current paper provides an inside-out view, different from the papers mentioned
Bucharest Stock Exchange that must face the development challenges within European
Union.
We chose to focus on Bucharest Stock Exchange due to its leading position among
Hence, Bucharest Stock Exchange might be considered in a good position to advance to
the status of emerging market. Thus, with an important gap separating the Bucharest
stock market from Budapest and Prague, and lagging well behind the Warsaw
36
International Business: Research, Teaching and Practice | 7.1
RESEARCH
Among the various answers that can be given, one is for sure related to internal
determining the world market index leader.
Thus, we applied the idea at Bucharest Stock Exchange level considering the three
components of BET-FI portfolio constituents.
While the domestic academic literature regarding Bucharest Stock Exchange
is growing, a small number of studies concentrate on BET-FI index and even fewer
BET-FI is an index leader for Romanian blue chips shares, but not for all the market.
Exchange, while section 3 documents the position of BET-FI portfolio constituents
A BRIEF PRESENTATION OF BUCHAREST STOCK EXCHANGE
Bucharest Stock Exchange, henceforth BVB , is the main Romanian exchange
market. BVB start trading in November 1995 with 8 listed companies. Currently, as
foreign companies. Since January 2006, after the successful merger with the Electronic
Graph 1
The structure of BVB
trading platforms (as of
December 2012)
Source: authors’
calculations based on BVB
data, www.bvb.ro
37
RESEARCH
eventually along with new companies which choose to be listed on ATS. The structure
of trading by platforms at BVB is presented in graph 1. The BVB main market is the
dominant trading platform, due to its already established position and a higher level
of transparency.
December 2012, the shares listed at BVB concentrate almost 88% of the total turnover,
while other sectors as the government bonds gathered almost 6% of the total turnover.
The rest of the sectors, which were introduced successively between 2001 and 2010,
municipal and corporate bonds, futures contracts, domestic investment funds, exchange
generated among investors or because of their relative novelty (mainly the case of the
large number of indices for such a small market was constructed to accommodate the
the blue chip index portfolio.
was introduced, in order to highlight the domestic blue chips. The third category was
launched in November 2007 in an attempt to improve domestic company ranking by
in. However, until now, only one company is listed within the 3rd category.
presented in graph 2. As the graph 2 shows, the sector is dominated by the 1st category
transactions, which currently lists 25 companies.
Graph 2
The structure of BVB
main equity market (as
of December 2012)
Source: authors’
calculations based on BVB
data, www.bvb.ro
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RESEARCH
THE FINANCIAL INVESTMENT COMPANIES (SIFS) POSITION AT BVB
Within the 1st category, a special section is dedicated to six domestic closed-end funds.
when a sixth component was introduced: a new closed-end fund, Fondul Proprietatea .
created under the Law no.58/ 1991. According to the aforementioned law, to each
PPF a number of companies were allocated based on the regional concentration of the
PPFs were transformed through incorporation in SIFs under the Law no.133/
international investor’s point of view, SIFs can be considered closed-end domestic
closed-end funds is not a familiar notion.
countless details arising from two main problems: the portfolios’ dimensions and
structure inherited from PPFs and a large amount of shareholders (about 5 million per
the State Ownership Fund and government representatives regarding SIFs portfolios,
Emergency Ordinance no.54/ 1998. By the fall of 1999, the situation of shareholders
was considered solved.
ownership limit established to 0.1% of any SIF shares, the large number of SIFs
of SIFs. Immediate after their listing they increased the total turnover at BVB, by the
end of November 1999 the turnover being 5.4 times higher compared with the end
October 1999 turnover. The daily averages of year 2000, in comparison with 1999,
increased as follow: the number of transactions with 22%, share trading volume with
74%, and the turnover with 75%.
Table 1 presents the evolution of SIFs capitalization and how much it represents
2004 to less than 7% was due to the wave of foreign investors that entered Romania
along with the investments made in the ten Central and Eastern European accession
countries. SIFs were not favored mainly due to their low ownership threshold. In 2005
SIFs regained the attention of all investors amid of discussion regarding the increasing
of ownership limit to 1%. The new threshold became effective in November 2006. The
second, and more severe, decrease in SIFs capitalization ratio was due the world
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RESEARCH
Table 1
SIFs’ and FP capitalization as of end of period (EUR m) and % of BVB’s capitalization
Source: authors’ calculations based on BVB data, www.bvb.ro
Year
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
Average
SIFs’ capitalization
(EUR m)
65.9
68.1
125.5
236.9
268.1
612.7
1,783.4
2,524.8
3,076.9
436.5
776.7
700.6
636.5
819.9
866.6
FP capitalization
1,351.3
1,709.6
1530.5
SIFs’ % of BVB
capitalization
17.41
14.18
9.22
8.95
8.96
6.96
11.65
11.79
12.51
3.75
4.08
2.93
3.88
3.72
8.57
FP’ % of BVB
capitalization
8.25
7.75
8.00
Table 2
Table 3
SIFs’ position in total BVB and 1st category
transactions (average figures for Nov. 1999Dec. 2012)
SIFs’ daily activint compared with BVB (Nov.
1999-Dec. 2012)
TABLE 2
SIFs’ POSITION IN TOTAL BVB AND 1
CATEGORY TRANSACTIONS (AVERAGE
FIGURES FOR NOV.1999-DEC.2012)
% of total BVB
% of 1st
category
Number of trades
46.99%
58.71%
Source: authors’ calculations based on BVB datast
Volume
28.07%
41.53%
Value
38.44%
45.81%
Source: authors’ calculations based on BVB data
TABLE 3
SIFs DAILY ACTIVITY COMPARED WITH BVB
(NOV.1999-DEC.2012)
BVB total
SIFs
Average
number
of
3,473
1,825
trades per day
Average volume per day
39.72
6.72
(mil. shares)
Average value per day
5.38
2.18
(mil. EUR)
Table 4
SIFs’ annual returns (average percentage for the two sub periods)
Source: authors’ calculations based on BVB data and Romanian National Bank data
2000-2007
Inflation rate (%)
Interest rate for bank deposits (%)
BET annual return (%)
BET-C annual return (%)
SIF1 annual return (%)
40
2008-2012
18.79
15.08
46.08
41.10
74.72
83.12
61.56
63.97
80.51
5.73
8.10
-0.44
-6.40
3.66
9.41
10.54
-9.89
5.82
RESEARCH
also. Another factor that impaired the SIFs position was the listing, starting with the
SIFs’ trading. At the beginning of 2012 the Law no.11/ 2012 was passed, increasing the
ownership limit for any SIF to 5% per person or per group of persons. However, it did
not have the expected impact on SIFs transactions.
capitalization ratios indicate a level around 11%, similar to that reached by SIFs during
2005-2007 period.
of shares. For the period November 1999 – December 2012, SIFs concentrated about
47% of BVB transactions and almost 59% of 1st category transactions, 28% of BVB
turnover, respectively 46% of the 1st category turnover. The important position of SIFs
of the daily transactions and 41% of the daily turnover between November 1999 and
December 2012.
The main reasons for SIFs’ strong position within BVB might be considered the
price returns were most of the time above the performances registered by BVB blue
The importance of SIFs for BVB was also recognized in November 2000 when the
dedicated index BET-FI was launched. The evolution of BET-FI index in comparison
BET-FI is a domestic market index leader.
HYPOTHESES, METHODOLOGY, AND DATA
For the present paper, we chose to verify if BET-FI is an index leader for the two
oldest BVB indices: BET and BET-C. We limited our research to these indices because
we consider that they represent the BVB market very well by covering the domestic
any SIFs. Details regarding the three indices and a selection of their most important
portfolio constituents are presented in Tables 5 and 6. By being present in the portfolios
41
RESEARCH
Graph 3
BVB oldest indices
evolution
Source: based on BVB daily
data
Table 5
General information regarding the three indices under analysis
Source: based on data available at http://www.bvb.ro/IndicesAndIndicators/indices.aspx
Index
BET
Type
10 blue chips
Launching date
Sept.19, 1997
Data available since
Sept.19, 1997
BET-C
Composite
April 16, 1998
April 16, 1998
BET-FI
Sector finance
Oct.31, 2000
Oct.31, 2000
Observations
free float weighted capitalization
does not include SIFs
market capitalization weighted
does not include SIFs
free float weighted capitalization
includes only the 5 SIFs and FP
Table 6
Selected portfolio components for BVB indexes as of December 2012
Source: based on data available at http://www.bvb.ro/IndicesAndIndicators/indices.aspx
Symbol
FP (%)
SNP (%)
TLV (%)
BRD (%)
TGN (%)
SIFs (total %)
BET
22.32
21.38
18.94
18.19
7.06
0
BET-C
22.08
21.10
7.83
16.82
7.22
0
BET-FI
37.30
0
0
0
0
62.70
Table 7
Subset Hypothesis
42
H1: BET-FI Granger causes BET
H1a: BET does not Granger cause BET-FI
H2: BET-FI Granger causes BET-C
H2a: BET-C does not Granger cause BET-FI
RESEARCH
The general hypothesis in order to verify if BET-FI is an index leader for BET and
BET-C is the following: BET-FI does Granger cause BET and BET-C indices and it is not
Granger caused by any of them.
The corollary of this hypothesis would be: if BET-FI is an index leader for BET and
index portfolio.
In order to test the general hypothesis, a subset of two hypotheses were formulated,
the general hypothesis.
We started our investigation by calculating the simple correlation between BETFI and the other indexes. Further, the simple regression was applied, with BET-FI as
RINDEX = a + b · RBET-FI
test was also performed. The bivariate Granger causality test for BET or BET-C and
BET-FI evaluates whether the past values of BET-FI are useful for predicting the
respective index, once the respective index evolution has been modeled. The test is
implemented by regressing the respective index on m-lag values of the index and m-lag
values of BET-FI.
RINDEX(t)=a0+a1RINDEX(t-1)+…+amRINDEX(t-m)+et
RINDEX(t)=a0+a1RINDEX(t-1)+…+amRINDEX(t-m)+b1RBET-FI(t-m)+et
The null hypothesis that BET-FI does not Grange-cause the respective is accepted if
and only if no lagged values of BET-FI are retained in the regression. An F-test is then
m-lag
zero. We report the p-values for each F- test in annex 3a, 3b, and 3c in graphical format.
The data used for analysis is represented by the daily returns calculated using the
daily closing values reported by BVB for the three indices. The period under analysis is
superimposed over the period of BET-FI index existence: November 2000 – December
2012, covering 3,030 observations. The descriptive statistics of all the three indices are
presented in Annex 2. They show that BET-FI data series exhibits a higher mean, but
also a higher standard deviation compared with BET and BET-C data series. BET-FI has
a slight skew to the right, indicating an increased potential of positive outcomes, while
BET and BET-C are negatively skewed, with a higher value in the case of BET-C which
indicates that BVB market as a whole is more prone toward negative outcomes than
higher than 3, with the highest pick and fattest tails for BET and the lowest for BET-FI.
43
RESEARCH
For the present paper, we chose not to indentify the structural breaks in the series.
The simple reason is given by the visual analysis of the graph 3 which indicates similar
describe the same market and a structural change in any of them, at the daily level,
is reproduced immediately by the others. Moreover, within the discussions we will
present the split we made on the data series for four sub periods, indicated by the
ascendant trend was broken.
The Granger causality was calculated up to 60 lags. We chose not to ignore the
Granger causality at long lags due to our prior knowledge regarding the way Romanian
investors behave; even if there is no extensive research to document this behavior. The
information come from informal discussions with Romanian brokers and investors.
Thus, we consider that the information is also supported by the fact that the Hofstede
index for Romania is 30, considered low and showing a collectivistic society . For
Romanian investors this collectivism can be seen as their permanent desire to base their
investment decision by following the decisions of other investors, collective investors
if possible. SIFs and FP represent the best ‘models’, mainly when after a period of
time, the market has the tendency to stagnate and the domestic individual investors
also reports a similar behavior for local investors in Bangladesh frontier market, where
retail investors try to copy other investors’ speculative decisions.
DISCUSSIONS
with 2005. This results hinted for a split into two sub-periods (November 2000 to
of both BET and BET-C variability is explained by BET-FI. The level increases at 60%
crisis period of August 2007 – December 2012.
relationship between BET-FI, BET, and BET-C, however for a shorter period than the
period we consider for the present paper and using a different statistical methodology.
The Granger causality results are presented in Annex 3a while the status of the
subset of tested hypotheses is presented in Table 10.
Based on the results presented in Table 10, the general hypothesis considering BET-
since BET-C portfolio was always dominated by the main BET portfolio constituents.
The best explanation of the fact that BET-C Granger causes BET-FI might be given by
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RESEARCH
Table 8
Correlation Coefficients of BET-FI with the other six BVB indexes
Source: authors’ calculation based on BVB data
BET
Entire
period
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011 2012
0.673
0.196
0.281
0.414
0.535
0.218
0.645 0.580
BET-C
0.675
0.874
0.769
0.846
0.637 0.777
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011 2012
0.186
0.210
0.472
0.548
0.265
0.637
0.626
0.682
0.874
0.777
0.845
0.612 0.774
Entire
period
0.676
Table 9
Regression results for BET-FI as independent variable
Adjusted R squared
(p-value)
Adjusted R squared
(p-value)
Adjusted R squared
(p-value)
Adjusted R squared
(p-value)
Adjusted R squared
(p-value)
DEPENDENT VARIABLES – Entire period
BET
BET-C
0.4574
0.4609
(0)
(0)
DEPENDENT VARIABLES – Sub period Nov.2000-Dec.2004
BET
BET-C
0.1270
0.1255
(0)
(0)
DEPENDENT VARIABLES – Sub period Jan.2005-Dec.2012
BET
BET-C
0.5961
0.6041
(0)
(0)
DEPENDENT VARIABLES – Sub period Nov.2000-July.2007
BET
BET-C
0. 2457
0.2443
(0)
(0)
DEPENDENT VARIABLES – Sub period Aug.2007-Dec.2012
BET
BET-C
0.6484
0.6558
(0)
(0)
Table 10
Subset hypotheses
Hypothesis
H1: BET-FI Granger
causes BET
H2: BET-FI Granger
causes BET-C
Status
confirmed
(up to 10 lags)
rejected
Hypothesis
H1a: BET does not Granger
cause BET-FI
H2a: BET-C does not
Status
confirmed
(for all lags)
rejected
Granger cause BET-FI
45
RESEARCH
the SIFs portfolio constituents. SIFs portfolios included, over the past 14 years,
over 30 companies of BET-C index, which represented, in average, over 40% of BET-C
portfolio. SIFs position as shareholders in these companies is a combined average
causality.
However, the results allow us to reformulate the hypothesis in the following form: BET-FI
is BVB index leader for the blue chip index BET.
The Granger causality was further investigated by sub periods. The results are
Table 11
Granger causality results for the sub periods considered for BET and BET-C
Sub-period I
Nov.2000 – Dec.2004
Jan.2005 – Dec.2012
BET-FI causality on BET
BET causality on BET-FI
BET-FI Granger causes BET for all the
BET Granger causes BET-FI for lags from 5
lags
to 10
BET-FI Granger causes BET for the
BET does not Granger cause BET-FI
lags 35 to 60
Sub-period II
Nov.2000 – July 2007
August 2007 – Dec.2012
BET-FI causality on BET
BET causality on BET-FI
BET-FI Granger causes BET for all the
BET Granger causes BET-FI for lags from 1
lags up to 40
to 10
BET-FI Granger causes BET for the
BET does not Granger cause BET-FI
lags 1 to 6 and from lag 32 to lag 60
Sub-period I
Nov.2000 – Dec.2004
Jan.2005 – Dec.2012
Sub-period II
Nov.2000 – July 2007
August 2007 – Dec.2012
BET-FI causality on BET-C
BET-C causality on BET-FI
BET-FI Granger causes BET-C from
BET Granger causes BET-FI for lag 1 and
lag 5 up to lag 60
from lag 21 to 30
BET-FI Granger causes BET-C from
BET-C occasionally Grager causes BET-FI
lag 40 to lag 60
for lags for 18 to 20 and from lag 48 to lag 58
BET-FI causality on BET-C
BET-C causality on BET-FI
BET-FI Granger causes BET-C for all
BET-C Granger causes BET-FI for all lags
the lags up to 46
from up to 30
BET-FI Granger causes BET-C for the
BET-C does not Granger cause BET-FI
lag 1 and from lag 32 to lag 60
It can be observed that by sub periods BET also Granger causes BET-FI for small lags
between the indices are relatively weak. For the crisis period of August 2007 to
December 2012, BET-FI Granger causes BET for large lags while BET does not Granger
causes BET-FI, suggesting that BET-FI could be considered an index leader for BET
during the respective period, taking into consideration the explanation regarding the
46
RESEARCH
‘collectivistic’ inspiration proposed above.
Contrary to the subset hypothesis 2, by sub periods BET-FI also Granger causes BET-C.
However, these results do not change the general conclusion. For the crisis period, the results
are similar with those of BET.
This indicates that BET-FI can be considered as market index leader, during the crisis
period, for large lags for BET and BET-C indices
for a next crisis period when BET-FI can be watched and followed more closely than the other
indices.
With the original hypothesis rejected, the corollary for the respective hypothesis does not
through its composite index BET-C. However, there are nuances to be considered.
Second, being a frontier market, BVB exhibit a feature common to most frontier markets
the 1st category as Table 6 shows.
Third, BET-FI, while not an index leader for BET and BET-C, can be considered an index
share buying decision at BVB indicating that within the 1st category an investor either choose
from among 15 to 20 shares listed there, or choose to invest in SIFs.
Fourth, while within the 2nd category there is a small group of interesting shares, which
Taking into consideration these nuances, the fact that BET-FI can be considered an index
leader for blue chip shares, by extension an index leader for the 1st category shares, reduce
returns generated by BET-FI base-portfolios compared with BET based-portfolios are
CONCLUSIONS
The current paper tried to establish if the BET-FI index can be considered an index for the
regarding BET-FI potential as a market index leader was raised by the position its constituents
activity. Within the paper SIFs position’s at BVB is presented
The general hypothesis tested was: BET-FI does Granger cause BET and BET-C indices and it
is not Granger caused by any of them. The corollary of this hypothesis would have been: if BETto the components of BET-FI index portfolio.
Based on the results, the general hypothesis was rejected. BET-FI cannot be considered
47
RESEARCH
an index leader for BET-C, since it is Granger caused by the respective index, without
Granger causing it. However, BET-FI can be considered an index leader for BVB blue chips,
represented by BET index.
1st category and most of the blue chips are listed here. Also, by exhibiting the features
of a frontier market, the BVB transactions are concentrated around a small number of
at low levels.
Eastern Europe came rather from the geographical spread than from the industry mix
a US investor.
By revealing BET-FI leader index position for Romanian blue chip stocks, the current
paper helps any investor and researcher to focus only on BET-FI and BET-C. Likewise,
it helps focus the attention only on BET-FI when the 1st category shares are concerned.
concerns of international investors considering the main Romanian stock exchange as
represent an important barrier on the competition race with the frontier and emerging
exchanges surrounding Romania, revealing a relative fragile position of Bucharest
Stock Exchange in the region.
48
RESEARCH
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markets realizable by mean-variance investors? The evidence of investable funds,
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mpra.ub.uni-muenchen.de/11292/
World, The Journal of Finance, vol.65, issue 1, 361-392
emerging markets, Journal of Empirical Finance, 19, 796-818
static properties, MPRA Paper No. 5871, posted 22.Nov.2007, available online at:
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News, analysis and opinions, 09/10/2010, Available online at: http://www.
emergingmarkets.org/Article/2690705/FRONTIER-MARKETS-The-changingface-of-risk.html
Market Finance, 7:1, 43-80
of portfolio investment in Central and Eastern European markets, Research in
International Business and Finance, vol.22, issue 2, 162-174
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XXIII, No.2/ 2010, 355-365
3-26
generation of emerging markets, The Journal of Wealth Management, vol.13, no.3,
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RESEARCH
Money, 21, 724-742
Investing, vol.16, no.3, 12-22
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ACKNOWLEDGEMENTS
We would like to thank the anonymous reviewers for helpful suggestions and valuable
comments.
50
RESEARCH
Annex 1
Stock exchanges of the EU12 rank based on market capitalization
Source: authors’ calculations based on data provided by FESE, NASDAQ OMX Baltic, EUROSTAT and FTSE
Index Company
Stock Exchange
Warsaw
Stock
Exchange
Prague
Stock
Exchange
–
2)
CEESEG
Budapest
Stock
Exchange
CEESEG
Bucharest Stock
Exchange
Ljubljana Stock
Exchange
CEESEG
Cyprus
Stock
Exchange
Bulgarian Stock
Exchange
Vilnius
Stock
Exchange
–
NASDAQ OMX
Bratislava Stock
Exchange
Malta
Stock
Exchange
Tallinn
Stock
Exchange NASDAQ OMX
Riga
Stock
Exchange –
NASDAQ OMX
Market
capitalization
(EUR m)
115,999
Data for equity sector
Average annual figures for the period 2006-2012 (Dec.)
Turnover Trades Listed
Mkt.cap. Turnover
(EUR m) (thou)
companies in GDP
ratio
(%)
(%)
53,778 12,719
545
34.91
48.55
Classification
according to
FTSE
Advanced
emerging
Advanced
emerging
33,268
22,693
1,092
29
23.62
67.11
21,233
20,234
2,130
47
22.13
97.24
Advanced
emerging
12,563
1,511
712
66
10.51
12.44
Frontier
9,285
1,241
142
78
26.82
11.77
Frontier
7,730
1,552
366
116
48.02
19.20
Frontier
7,419
1,281
216
383
22.49
13.98
Frontier
4,400
491
176
39
15.82
9.48
Frontier
3,980
133
9
165
6.62
3.45
Frontier
3,194
64
11
19
53.77
1.97
Frontier
2,368
535
86
16
15.92
21.40
Frontier
1,262
42
23
32
6.51
3.04
Not classified
following stock exchanges: Budapest, Ljubljana, Prague and Vienna.
Annex 2
Descriptive statistics for BET, BET-C, BET-FI daily returns (Nov. 2000-Dec. 2012)
Source: based on BVB data
BET
Number of observations
Mean
Std. Dev.
Skewness
Kurtosis
Largest (1) (%)
Smallest (1) (%)
BET-C
3,030
0.090
1.734
-0.060
7.985
15.692
-12.293
BET-FI
3,030
0.068
1.586
-0.362
7.329
11.506
-11.413
3,030
0.140
2.588
0.196
5.201
14.827
-14.850
51
RESEARCH
Annex 3(a)
The Granger causality for the entire period
52
RESEARCH
Annex 3(b)
The Granger causality of BET-FI on BET for the sub periods Nov. 2000-Dec. 2004
and Jan. 2005-Dec. 2012
53
RESEARCH
Annex 3(c)
The Granger causality of BET-FI on BET for the sub periods Nov. 2000-Jul. 2007
and Aug. 2007-Dec. 2012
54

The Bucharest Stock Exchange case: Is BET-FI an index

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