Ovidiu Stoica

An Examination of the Calendar Anomalies in the Romanian Stock Market

Abstract The main objective of this paper is to investigate the presence of the-day-of-the week and the-month-of-the-year effects in the Romanian equity market, using Bucharest Stock Exchange returns between 2000 and 2011. While we observe the presence of Thursday effect in Romanian equity market, we do not find any traditional Monday or January effect for the entire sample period. Furthermore, we observe the January effect during pre-crisis period. However, the subsample analysis provides very different results, perhaps due to increasing degree of capital market maturity, EU accession and other important events, such as the financial crisis. It follows that the Romanian equity market is reasonably efficient, where prices reflect all publicly available information and no trading rule and market timing can be used to generate abnormal returns.

The Impact of Internet Banking on the Performance of Romanian Banks: DEA and PCA Approach☆

Abstract The modernization of the banking sector has been a defining trend in new EU member state economies over the last decade. Financial innovations in particular have provided banks with the necessary tools to obtain competitive advantages. In this context, the aim of our research is to analyze the way in which the financial innovation represented by Internet banking services can contribute to the enhancement of the overall efficiency of Romanian banks. We apply DEA to compute the aggregate efficiency score for each of the 24 banks in our sample and, in addition, we utilize PCA to classify the banks into different operational strategies groups based on their relative efficiency scores. The results show that there are very few banks in our sample that have utilized Internet banking services in their production process to increase their level of efficiency and thus the research proposes a series of solutions and recommendations.

Dilemma: Regional or International Interdependencies in Central and Eastern European Stock Markets

Abstract This paper examines the interdependencies between Emerging Europe (i.e. Bulgaria, the Czech Republic, Hungary, Poland, and Romania) and developed markets over the periods before and after the global crisis. A study of market integration is important, since the previously results in the literature are contradictory. Using a Vector Error Correction Model we tested two hypotheses, namely, regional integration in the pre-crisis period and international contagion in the post-crisis period. We find support for an increasing international interdependences in all Central and Eastern European countries except Bulgaria. It follows that the results of the study can be employed to formulate optimal portfolio diversification.

Interest Rates and Stock Prices: Evidence from Central and Eastern European Markets

We provide empirical evidence regarding the responses of Central and Eastern European capital markets to monetary policy via domestic and international short-term interest rate shocks. The analysis is conducted using a four-variable structural vector error correction model identified by means of permanent-transitory restrictions. The results indicate a noticeable effect of the international interest rate on stock market indexes in the cases of the Czech Republic, Hungary, Poland, and Romania. Since no monetary policy autonomy exists in Bulgaria, Latvia, and Lithuania, we find support only for the inverse relationship between foreign interest rate and stock index prices.

Monetary Policy and Stock Markets Evidence from EU Countries

The analysis of monetary policy impact - via interest rate as instrument of intervention - on the evolution of stock market prices has gained more popularity during the current crisis due to the accumulation of financial imbalances. This article investigates the impact of monetary policy on equity indexes in European Union countries from January 2000 to February 2012, using cointegration and Granger causality tests. The results reveal the existence of long and short term relationship between stock prices and interest rates. We also find that on the long-run the comovement between interest rates and stock prices are stronger during crisis period, when compared with entire period.

Toward Successful Euro Adoption in Romania

The recent EU enlargement process brings in attention the next obvious step, entering the European Monetary Union. For all the ten new EU countries, adopting euro as national currency seemed to be, at least until very recent, a priority objective, fact suggested by the rush in entering the EMS II system. The enlargement is an opportunity to evaluate the Maastricht criteria for adopting the single currency. In the recent years, it appeared more often the question if the (nominal) convergence criteria are enough for the new members, taking into account the gap between them and the other 15 EU members, or in all the countries, voluntarily, must evaluate and take into account some real convergence criteria. Even if the euro adoption is still far away for Romania, the controversy about nominal and real convergence is actual and we must concentrate in the next few years mainly in the catching-up process, and we must expect, before the euro adoption (even if we could fulfill the Maastricht criteria before), until we will reach the real convergence, for avoiding the asymmetric shocks.

The Role of the Capital Market in the Economic Development

Taking into account the apart role in the market economy, the capital market occupies an important place, through their specific mechanisms, succeeding to give its contribution to the economic development of the society. In consequence, the public authorities must notice the importance of the capital market in the national economy and, on the other hand, to make the efforts for insuring the necessary framework for the normal functioning of its specific mechanisms. The valences of the capital could be even more interesting in the case of emerging markets - like the Romanian capital market - being well-known its contribution in reorienting financial resources to efficient activities, contributing to the economic reform, but also being interesting in the privatisation process.

The Impact of Board Gender on Bank Performance and Risk in Emerging Markets

This paper investigates the impact of board diversity on the performance and risk of banks. We put an emphasis on identifying features of the board structure that could increase performance and lower the possible losses of banks. Using a unique, hand-collected dataset of 156 banks from Central and Eastern Europe during 2005-2012, we assess whether banks with more female directors or chairwomen display lower risk and higher performance. The analysis first shows that banks with a chairwoman and a higher proportion of women among the members of a banks board record a higher level of profitability and tend to have a lower level of credit losses. Additionally, the results suggest that the higher proportion of women among members of the banks boards, on average, the higher the bank stability during the financial crisis. Our results also reveal that the regulatory framework in the host-country affects the relationship between board gender diversity and bank performance and risk.

Influences of the Global Crisis on the Monetary Transmission and Optimum Substitution between the Romanian Leu and Euro

Abstract The current economic and financial crisis has exerted an increasing impact on the monetary transmission also in the emerging economies. Firstly, this paper aims at highlighting the effects of the turbulences on the Romanian monetary policy framework, on the basis of a theoretical approach. Secondly, the data covering the period January 2008-December 2012 will be used to observe and explain the evolution of the empirical optimum of the monetary substitution between leu and euro. The study case will be based on the Uncovered Interest Parity theory and consider also the cases of the Czech Republic, Hungary and Poland. The results will allow identifying the main recent mutations in the monetary transmission and substitution in Romania and their implications in the perspective of euro adoption as well as to compare with results obtained for the neighbour countries.