FM - Economics & Finance

Permanent URI for this collectionhttp://localhost:4000/handle/123456789/17

Browse

Now showing 1 - 20 of 36

The Impact of" Black Swan" Events on Oil and the European Capital Markets
(Academic of Economics Studies, 2024) Anghel, Lucian Claudiu; Zwak-Cantoriu, Maria Cristina; Obreja, Carmen; Afjal, Mohd
The price of oil and, indirectly, the performance of the stock indexes were significantly impacted by the evolution of the energy market in the context of the switch to renewable energy sources and the modifications in global energy policy. This paper proposes a comprehensive analysis of several crucial financial field elements, with particular attention to the evolution of stock indices, financial market volatility, and investor response to major events that have recently caused changes in the global economy. Using advanced economic and statistical models, the paper shows the complex relationship between the analysed stock indices, the trends and changes that occurred within them and the relevant influencing factors, such as the price of oil and the Baltic Dry Index.The results of the DCC-GARCH models highlight a significant positive correlation between the stock indices of several European countries, underlining the interconnection of these markets in conditions of increased volatility.
Volatility analysis and cryptocurrency interconnections
(Scientific Research Publishing (SCIRP), 2024-04) Zwak Cantoriu, Maria Cristina; Anghel, Lucian Claudiu
The main purpose of this paper is to investigate the volatility in the cryptocurrency market and the relationships between them, using the cryptocurrencies: Bitcoin, Cardano and Stellar. The results obtained suggest that volatility in cryptocurrency prices is influenced by previous events and the level of past volatility. The propagation of volatility and shocks between the three analyzed cryptocurrencies, and the observation of the interconnection between them was also followed in this paper. By determining the degree of correlation between the analyzed cryptocurrencies, we observed that in the selected period there are quite strong positive correlations. Also, we noticed that the volatility of cryptocurrencies was strongly influenced by certain economically uncertain periods, a fact that caused their prices to have a strong fluctuation, especially in the period 2021-2023. The results obtained show an interdependence between the three cryptocurrencies, which is significant in the decision-making of investors. News and events play a significant role in the cryptocurrency market, especially those in the financial, technological, and political worlds that can have a considerable impact on cryptocurrency prices and volatility. In the case of Bitcoin, there was an increase in interest in this cryptocurrency when there were investments from large companies and financial institutions.
Analysing sustainability based relationship between debt and growth in South-Asian economies and their impact on textile industry: a case for developing economies
(2022) Gillani, Durdana Qaiser; Birau, Ramona; Naeem, Muhhamad Zahid; Anghel, Lucian Claudiu; Spulbar, Cristi; Ninulescu, Petre Valeriu; Spulbar, Andrei Cristian; Ejaz, Abdullah
This research aims to quantify the linear and non-linear relationship between debt and economic growth in selected developing economies. Based on theoretical arguments and annual data considerations in modelling the debt and growth as a complex relationship across countries, our panel methodology is based on the fixed effect technique. Our core finding indicates that government debt lowers the GDP in selected developing economies. We also find that the urban population is a key factor that improves economic growth. Moreover, government expenditures on health and industrialization are helpful to enhance the growth of the economies. Our study also suggests increased exports, industrial development, and investment in education for growth. We also propose certain supporting strategies to reduce the adverse effects of debt-growth relation in the considered economies. Given developing economies’ status, the prerequisite for broad, dynamic and rule-based debt policy is of paramount importance, ensuring the factual choices among numerous possibilities, addressing financial constraints and ensuring intergenerational welfare impact.
Exploring the intersection of professional social networks and competitiveness : a systematic review and bibliometric analysis
(The Bucharest University of Economic Studies, 2025-07) Becheş, Petrică Dumitru; Mititean, Pompei; Anghel, Lucian Claudiu; Catrina, Maria Manuela
This study explores how professional social networks affect competitiveness using a bibliometric approach. The study uses data from the Web of Science database from 1998 to 2024 and a selection of 165 scholarly publications. The selection was made according to PRISMA guidelines for systematic literature review in 2020, while data analysis was done using Bibliometrix R package. The objective was to identify major research areas, spot new topics of interest, and chart the conceptual platform for this area by looking for co-citation, co-occurences from keywords, and thematic clusters. Early findings show how professional social networks help improve competitiveness by facilitating knowledge sharing, driving innovation diffusion, and generating strategic linkages. The clusters found were grouped into four broad categories: motor themes, basic themes, emerging themes, and niche themes, each described according to how they contribute to forming competitive advantage. This original comprehensive systematic review, to our knowledge, explores how professional social networks intersects with competitiveness, providing a sound groundwork for future studies.
The development of the Romanian art market
(Hyperion University, 2024-05) Gheorghiu, Anda
The Romanian art market occupies a relatively modest place in the international context, but it has registered a significant growth in the last decades, attracting more and more attention on the global stage. Like most Eastern European countries, former communist states, Romania is an emerging art market, currently having a small volume of transactions on the world art market. At the moment, most sales of modern art in Romania are made through auction houses, with Artmark the authoritative leader, while contemporary art is mainly sold through galleries. However, the volume and value of transactions remain modest compared to the large international auction houses such as Christie's and Sotheby's. This paper examines the market dynamics, analyzing the activity of art galleries, auction houses, publications and art magazines, what are the quotes of Romanian artists, and other aspects, such as art fairs or data related to the trends of the Romanian art market good, because opportunities exist, including for a young market like the one in Romania. Events such as Art Safari, MoBU, Bucharest Contemporary Art Biennale and Cluj International Ceramics Biennale, etc. contributes to positioning the Romanian art market on the international map, attracting collectors and art critics from all over the world. The perspectives of the Romanian art market are particularly aimed at the function of art as an investment alternative, as there are still many heritage or contemporary art objects at affordable prices for the beginning of a collection, but also for older collectors or those people with solid financial funds who are looking for an alternative to secure savings. The paper concludes that the Romanian art market has the potential to develop and expand significantly in the coming years.
The influence of audit, an important component of corporate governance, on the companies’ performance in the energy sector
(Body of Expert and Licensed Accountants of Romania (CECCAR), 2024-06-01) Ceguș, Daniel; Gheorghiu, Anda; Neamțu, Florentina
The main purpose of the study is to analyze the impact of the audit as an element of corporate governance on the performance of companies in the energy sector, using regression analysis as its methodology. The sample consists of 140 European energy companies. To measure the results, the study considers independent variables (the existence of the audit committee, the independence of the committee, its expertise, the contractual period with the current external auditor and the existence of an internal audit department), dependent variables (return on assets and return on equity), and control variables (the size of the board of directors, the natural logarithm of total assets, and leverage). The results indicate that, of all the audit elements related to corporate governance, only audit committee independence has a significant and positive influence on a company’s financial performance. The originality of the work lies in the lack of scientific research on the chosen field during the period from 2019 to 2023.
The relationship sales process in VUCA times – theoretical aspects (Part 2)
(Military University of Technology, 2024) Wereda, Wioletta; Pînzaru, Florina
Research objectives and hypothesis/research questions: The aim of the article is to present the success factors of the process of relationship sales created on the basis of the research made in innovative enterprises in Poland from the NewConnect market. In the article both quantitative and qualitative research methods were used. The data for analysis were obtained using the diagnostic survey method using the questionnaire technique, it means that the CATI method was used to obtain the data, which made it possible to find out the opinions of the respondents via a telephone conversation. The data was obtained in July – August 2022 in the form of a survey (quantitative research) – 100 enterprises, as well as interviews of selected innovative enterprises at the turn of September and October 2022 – 10 managers. The considerations contained in the article are the part of a broader research on the role of relationship sales in functioning innovative enterprises from the NewConnect market. The article presents elements that can be considered as the basis for the success of innovative enterprises on the market. The research part describes the research methodology and the results of the conducted surveys as well as the conclusions resulting from the research. Research methods: In addition to the empirical method, the study also used theoretical research methods, such as the analytical-synthetic method. Generalization and inference were used to formulate conclusions. Main results: The analysis of the literature and the results of the research showed that the prospects for the development of the relationship sales process are significantly high, especially this aspect has become quite important during the pandemic and VUCA times and enterprises are increasingly interested in creating the relationship sales process in their daily business activities. Implications for theory and practice: The research confirmed that there is a significant relationship between increasing the efficiency of the enterprise’s operations, financial liquidity, the effectiveness and continuity of the basic processes of the daily functioning of the company, creating long-term business relationships and obtaining important data for the company, and the company’s participation in the use of relationship sales. This relationship is illustrated by the fact that without building relationship sales, in the modern world of crises, aimed at achieving goals, innovation, cooperation and communication, it is impossible to build effective and efficient cooperation with the stakeholders of the organization.
Fighting with Tax Fraud-Best Practices and Steps for the Future
(Tritonic, 2021) Gheorghiu, Anda
"The purpose of this paper is to identify the best methods that can be implemented by a state, or a group of states for protection against tax fraud; the paper also suggests improved mechanisms at the European and international level in the fight against tax fraud. The research method is a survey in which independent professionals and civil servants with positions of responsibility in relevant institutions in the field of combating tax fraud have expressed their views on tax fraud and how to take action to reduce or prevent it. The study objectives are finding the most appropriate measures and detection techniques that could be more useful to the state for the necessary protection against tax fraud, finding the most effective methods that should be imposed by law to create an internal control system in the companies to reduce the phenomenon of tax fraud. The study reveals that the most important measure that a government can implement for fighting tax fraud is the cooperation between public organizations. Also, civil servants working in the fiscal/judicial field should be highly qualified and comply with clearly stated ethical standards. Ground and maritime surveillance for the detection of smuggling illegal excisable goods for the detection of illicit trafficking of sensitive goods by sea are extremely important. They are as important as detailed procedures for dealing with cases of suspected fraud and for guaranteeing the quick transmission of information to the competent authorities; another kind of desirable procedure is those that guarantee the protection of the whistle-blowers. Implementing management's responsibility for financial reporting, likewise to The Sarbanes-Oxley Act in the United States, is crucial for minimizing the level of tax fraud at the international level. Hopefully, working together within OECD/G20 Inclusive Framework on BEPS, 139 countries and jurisdictions are collaborating on the implementation of 15 measures to tackle tax avoidance at the international level, improve the coherence of international tax rules and ensure a more transparent tax environment. More than 130 states reached an agreement in July 2021 on reform of multinational taxation to impose a minimum global profit tax of ""at least 15%"" on them. Likewise, the European Union also has strong institutions and strategies against tax fraud."
ICTs and digital risk in purchase transactions
(Military University of Technology, 2020-12-18) Wozniak, Jacek; Gheorghiu, Anda
The phenomenon of digital risk accompanies today's consumers every day, at the execution of every purchase transaction. Today's customers (so-called the Customers 4.0), who use ICTs on a large scale and are very prone to exploiting the potential of ICTs in purchasing processes, are usually aware of the digital risk, but do not give to it a high enough priority. In order to explore the peculiarity of the digital risk and customer use of ICTs, the CATI survey was conducted – on a sample of 320 consumers (from Poland). The research aimed to assess the complexity and importance of digital risk in customers' opinions, and the complexity of the use of ICTs in purchasing processes. The research process involved the statistical methods as follows: factor analysis (i.e. Principal Components Analysis method – PCA), as well as cluster analysis (k-mean method). In the study, three composite indexes were constructed – i.e. the Digital Risk Complexity Index – DRCI, the Digital Risk Importance Index – DRII, as well as the Consumers' Use of ICTs Complexity Index – CUICI. In particular, the study showed that the digital risk complexity is at a moderate level, the digital risk importance is at a moderate level too, as well as the consumers' use of ICTs complexity is at a relatively high level throughout the research sample.
The relationship sales process in VUCA times – theoretical aspects (Part 1)
(Military University of Technology, 2024) Wereda, Wioletta; Pînzaru, Florina
Research objectives and hypothesis/research questions: In every enterprise, it is increasingly said that acquiring a new customer is several times more expensive than retaining an existing one. This more or less means that building relationships with customers is often much more important than sales. The pinnacle of success is the transformation of building relationships in the sales process, which is why recently a lot of attention has been paid to developing these skills. The concept of relationship selling hides an entire long-term process, often starting long before meeting a potential customer. Relationship selling is based on the ability to sell services or products based on understanding all the emotional needs of the customer. To learn about the most important needs, the seller must establish a relationship with the customer. Most often, this type of sales is useful in the service segment, such as insurance or investments, where the customer does not see a tangible product at the moment, but the promise of future benefits must be enough for him to make a decision. The aim of the article is to present the results of a critical analysis of the literature on the evolution of the relationship sales process based on the verification of publications in the Scopus and Web of Science databases. Research methods: Critical analysis of domestic and foreign literature. Main results: As a result of the analysis of the literature on the subject, four approaches to verifying the definition of the relationship sales process were noted: individual sales, which indicates that the beginnings of relationship sales are associated with the traditional, individual sales process; a place of purchase, where the exchange between the buyer and the seller was not discreet on both sides, and the most important thing was a lasting relationship that should be nurtured at every stage; adaptive selling, i.e. personal selling, focused on identifying the customer’s needs and desires; customer focus and modern sales solutions, in line with the general market shift towards a service-based economy and greater customer focus. Implications for theory and practice: In terms of the analysis of the definition of relationship sales, it can be noted that in the Polish literature on the subject there are no publications presenting a synthetic description of the evolution of this process, while in the case of implications for practice, this aspect is more limited, however, it indicates the need to change the approach in order to move away from traditional sales to relational in the business sector.
Decoding the multifaceted just transition: from the organizational commitment to environmental issues toward investments and expected outcomes
(Emerald Publishing Limited, 2025) Petrescu, Ioana Maria; Pînzaru, Florina Magdalena; Ștefan, George; Vătămănescu, Elena-Mădălina
"Purpose: This paper investigates the role of the organizational culture and readiness for Just Transition (JT)/decarbonization, starting from the commitment to environmental issues toward the investments and expected outcomes and by proposing a novel research model and unfolding a cross-country firm-level survey. The survey assesses firms’ awareness of the EU energy transition, their internal and external responses, and the factors influencing these responses. Design/methodology/approach: The questionnaire-based survey, conducted in Germany, Romania, Spain and the UK, included 550 companies. Data was collected via an online survey between December 2023 and January 2024. The analysis was performed using partial least squares structural equation modeling (PLS-SEM) to evaluate complex structural models. A multigroup analysis (MGA) was also computed to provide a comparative outlook across countries. Findings: All hypotheses tested were supported in both the four-country framework and in separate national contexts, indicating strong and significant relationships between the constructs. This supports the advanced research model and suggests that factors such as commitment to environmental issues, confidence in JT policies and organizational culture play relevant roles in sustainability and decarbonization efforts. Further, the results show that both organizational culture and financial costs influence the investments plan and expected results of companies. Also, the assumption of financial costs and perceived risks emerges as a prerequisite for achieving better outcomes. Research limitations/implications: From a bird’s eye view, in terms of managerial implications, the results provide actionable insights for companies navigating toward the JT programs, offering inputs on how to develop organizational cultures prepared for this evolution while paying attention to the necessity to mitigate risks and ensure a transition that makes employees confident about it. Simultaneously, the findings inform policymakers about the crucial necessity to adopt and communicate supportive legislation for businesses that align with the JT goals in a continuous, predictable and transparent way. Originality/value: By bridging the gap between business practices and public policy, this research can contribute to a smooth JT and confirms the necessity of more awareness of the JT, as well as of more support for companies to embrace it."
Tracing the Discourse on Overtourism
(The Bucharest University of Economic Studies In partnership with: Paradigm Publishing Services, 2025) Balliu, Brian; Zbuchea, Alexandra
This study analyzes the discourse surrounding overtourism by synthesizing academic perspectives and media representations, highlighting the dynamics and diverse effects of this modern phenomenon. This study aims to critically analyze the evolution of overtourism as an interdisciplinary topic, examining its ecological, socio-cultural, and economic implications. The methodology comprises two analyses: a comparative computational media analysis using Media Cloud to investigate overtourism coverage in major global tourism destinations and a bibliometric analysis conducted with VOSviewer to assess scholarly outputs obtained from Scopus. The comparative media analysis from 2020 to 2024 reveals varying national perspectives on overtourism, highlighting ethical concerns in German and Swiss media in contrast to sensationalist and conflict-oriented representations in Spanish and French outlets. Japanese coverage prioritizes domestic issues, whereas British reports highlight international viewpoints. The bibliometric analysis from 2013 to 2024 reveals a rise in scholarly attention before the pandemic, followed by stabilization in the post-pandemic period. Key thematic clusters encompass strategic management, heritage conservation, environmental sustainability, urban transformation, social impacts, and post-pandemic tourism dynamics. The academic discourse emphasizes the impact of overtourism on ecological degradation, community tensions, cultural commodification, and economic disparities, underscoring the need for integrated governance and community involvement in effective tourism management. The findings indicate that overtourism has significant negative effects, including the exacerbation of socioeconomic inequalities, ecological stress, and cultural degradation. Additionally, tourismophobia is rising, leading to conflicts. Furthermore, they underscore the role of grassroots movements in promoting sustainable and equitable tourism practices. The study concludes by advocating for comprehensive governance frameworks, community-oriented solutions, and interdisciplinary research to promote sustainable and resilient tourism.
Intertwining entrepreneurial motivation and the global mindset: a look into entrepreneurial profiles and business outcomes
(Emerald Publishing Limited, 2024) Mitan, Andreea; Vătămănescu, Elena-Mădălina; Dincă, Violeta-Mihaela; Ghigiu, Mihai-Alexandru
This article explores the connections between the entrepreneur's global mindset and entrepreneurial motivation in the quest for determining the underlying relationships among these constructs. The aim of the study resides in the advancement of various entrepreneurial profiles which imply specific configurations of the global mindset and motivational drivers, by also covering their correlations with the business outcomes. Design/methodology/approach: Data were collected in 2022 from over 100 entrepreneurs operating in the Romanian SMEs sector, using a questionnaire-based survey. Findings: The results posit that at least three statistically relevant clusters can be observed in the studied population, stemming from the particularities of the entrepreneurs' global mindset. The findings reveal that the levels of development of the entrepreneur's social capital, psychological capital and intellectual capital are linked to different entrepreneurial motivations and impact the company in specific manners. Practical implications: The research offers useful cues to the entrepreneurs for identifying prospective partners for their local or cross-border operations. Originality/value: This article explores the connections between the entrepreneur's global mindset and entrepreneurial motivation in the quest for determining the underlying relationships among these constructs. The aim of the study resides in the advancement of various entrepreneurial profiles which imply specific configurations of the global mindset and motivational drivers, by also covering their correlations with the business outcomes. Design/methodology/approach: Data were collected in 2022 from over 100 entrepreneurs operating in the Romanian SMEs sector, using a questionnaire-based survey. Findings: The results posit that at least three statistically relevant clusters can be observed in the studied population, stemming from the particularities of the entrepreneurs' global mindset. The findings reveal that the levels of development of the entrepreneur's social capital, psychological capital and intellectual capital are linked to different entrepreneurial motivations and impact the company in specific manners. Practical implications: The research offers useful cues to the entrepreneurs for identifying prospective partners for their local or cross-border operations. Originality/value: The results foster a new topical framework for discussion on the motivational configurations of entrepreneurs and the global mindset.
Framing consumer empowerment in the digital economy: From networks and engagement toward sustainable purchase
(John Wiley & Sons Ltd, 2024-05-15) Vătămănescu, Elena-Mădălina; Dinu, Elena; Gazzola, Patrizia; Dabija, Dan-Cristian
The current study investigates the influence of variety among online providers and customers' access to knowledge on consumer networks, consumer engagement, and sustainable purchasing. Emphasis is on the underlying relationships among these constructs in the digital economy, which has evolved into a complex structure of multifarious nodes and linkages unfolding in the online environment. The underlying theoretical approaches are knowledge-attitude-behavior (KAB) and customer sovereignty. Against this backdrop, a questionnaire-based survey was given to 200 Millennials (i.e., generation Y) and gen Z Italians—approached as empowered stakeholders requiring accurate information and sustainable solutions from online providers—in January 2023. The data was processed via the structural equation modeling technique PLS-SEM, based on SmartPLS 4. The findings indicated that sustainable purchasing is influenced to some extent by access to knowledge, consumer engagement, and consumer networks. The study endeavors to fill a research gap, as the relationships between variety among online providers and sustainable purchasing, as well as consumer engagement from the empowerment perspective are underexplored. The study provides new evidence of the relationships between consumer networks, consumers' access to knowledge, sustainable purchasing, and consumer engagement in the framework of online retail by inquiring respondents.
The Economics of Publishing: A Bibliometric Research Landscape
(Editura Univeristatii "Stefan cel Mare" din Suceava, 2024) Osadci-Baciu, Ana-Maria; Zbuchea, Alexandra
The publishing industry has undergone significant changes due to advancements in digital technology and the shifting economic landscape. Globalization, digitalization, and increased competition have profoundly impacted the industry. Consequently, agility and foresight are needed to keep pace with these changes and compete with other sectors for people's attention. This study examines the current research on the economic aspects of publishing, aiming to identify current and future trends in academic discussions. VOSviewer software is used to map keyword co-occurrences, aiding in identifying existing trends in the economic facet of publishing. The resulting VOSviewer bibliometric map synthesizes pivotal research themes, providing an illustrative guide to the economic undercurrents of the publishing industry. Key aspects include the shift from traditional to digital platforms, the implications of open access models, the interplay between copyright laws and digital rights management, and the strategic economic considerations of online content dissemination. The shift towards digital mediums has significantly impacted production and distribution costs, consumer pricing models, and revenue generation strategies. Open access is seen as a transformative element, challenging traditional revenue structures and advocating for the democratization of knowledge. However, copyright legislation and digital rights management are crucial to protecting intellectual property while facilitating content accessibility. This research contributes to understanding how economic factors interconnect within the publishing ecosystem, offering valuable insights for publishers, policymakers, and stakeholders navigating this transformative landscape. The study outlines current economic trends and predicts future directions in publishing economics, highlighting how emerging trends could transform the dynamics of information in the digital age.
Learning from financial practice
(Lambert Academic Publishing, 2015) Treapăt, Laurențiu Mihai; Anghel, Lucian Claudiu; Gheorghiu, Anda; Ivan, Ion
This book aims to address a wider target audience in comparison with the one that each of its component works used to address. The four works that make this book belong to several highly professional specialists in the financial field, each of them with more than 20 years of practice behind. Their papers are the result of an outstanding experience in the financial-banking field but also of their teaching and research activity until now. Consequently, these works were published in academic journals and communicated within international conferences. For this reason, the main beneficiaries of these papers were professors, researches and also students, as usual participants to these activities and events. Our wish is to share the practical experience of these specialists to an even wider public, not only to thus make it more marketable in bookshops and libraries. Source: Lambert Academic Publishing - https://www.lap-publishing.com/catalog/details/store/gb/book/978-3-659-56323-2/learning-from-financial-practice?search=Learning%20from%20Financial%20Practice
Managementul şi asigurarea riscurilor bancare in România
(Editura Economica, 2011) Treapăt, Laurențiu Mihai
Classic risk management solutions coexist with the latest trends in the field, because they are well known from the relevant experience, as a practitioner and also as a researcher, of the author. The applicative relevance of the book is indisputable both for young people who are studying, still in university, but also for professionals at the beginning of their career, masters', doctoral students, whether it is a career in sales, in the financial area, or any other kind of company, which in one way or another are interested in the relationship between risk and corporate brand.
Manual de studii de caz şi bune practici bancare
(Tritonic, 2013) Treapăt, Laurențiu Mihai
Investigating financial opportunities for traditional clothing industry in South Asia based on an analysis of internationally diversified portfolio using ARCH and GARCH models
(The National Research-Development Institute for Textile and Leather (INCDTP) , 2022) Zulfiqar, Imran Ali; Birău, Ramona; Spulbar, Cristi; Anghel, Lucian Claudiu; Ejaz, Abdullah; Criveanu, Radu Cătălin
This paper investigates the benefits of forming an internationally diversified portfolio in the stock markets of Bangladesh,India and Pakistan using the stock market indices data from April 2013 to March 2020. The portfolio comprises of three stock market indices from Pakistan, India and Bangladesh. The goal is to identify financial opportunities for traditional clothing industry in South Asia. Bangladesh, India and Pakistan are neighbouring countries in South Asia. Tradition, culture and specific ethnic elements influence traditional clothing in the case of the selected country cluster consisting of Bangladesh, India and Pakistan. Our empirical results indicate that internationally diversified portfolio does not reduce change in conditional variance is followed by large changes in conditional variance whereas small change in conditional variance is followed by small changes in conditional variance.
The impact of disturbances on the US stock market’s spread and investor sentiment through the perspective of risk management
(Faculty of Management (SNSPA), 2023-03-21) Zwak Cantoriu, Maria Cristina; Anghel, Lucian Claudiu; Ermiș, Simona Ioana
The paper aims to address a topic of interest, namely: the influence and effect of the major disruptions from recent years on one of the largest important stock markets. The purpose of the paper is to show the influence of these disruptions on the US stock market, considering market efficiency and measuring the estimated Bid-Ask spread. Using daily and weekly data sets over a period of 13 years, based on the closing stock prices of 10 companies listed in the category of the NASDAQ and NYSE stock indexes and calculating the return at (t) and (t+1) for each stock, the covariance of the two returns at (t) and (t+1) and using at t and (t+1) a "rolling window" of 21 days, which represents the trading days, as well as using the weekly data series in the same way, we obtained the relationship between the spread measurement and its size, a strong negative cross-sectional relationship, for which we performed a series of statistical tests summarized in the paper. Later, we split the data for each year separately so that we’d be able to use for each year a cross-sectional regression of the spread over the logarithmic values of the size and we noticed that there is a strong negative relationship between the two of them. According to the results obtained, it can be observed that the strongest negative correlations are in 2019and 2021 in the case of data with daily frequency and 2020, and 2021 in the case of data with weekly frequency, for an informationally efficient market, where transaction costs are zero and in which the market price contains all the relevant information. The strongly negative correlations recorded can be explained by the fact that strong negative influences took place during these periods, which contributed to the disruption of the stock market and not only. At the same time, these negative correlations on the stock market analyzed in the last period also show a wider spread increase which theoretically shows low liquidity.

Browse

Recent Submissions