Transformations  in
Business & Economics

Intra-Day Evidence on the Behaviour of Agents at the Bucharest Stock Exchange
Radu Lupu, Sorin Dumitrescu, Dan Gabriel Dumitrescu

ABSTRACT. Our article studies the time series properties of intra-daily stock returns on the five most traded instruments at the Bucharest Stock Exchange. The main purpose of our paper is twofold. On the one hand we aim at developing a methodology that could provide us information about the manner in which the distributional properties of stock returns are changing according to the frequency. On the other hand, we investigate the conditions under which the first four moments of the distribution of the stock returns are able to provide information about the future direction of change. From this perspective our analysis is realized in the lines of Christoffersen and Diebold (2006) and Diebold and Yilmaz (2007).

We found that the market for the most liquid assets listed at the Bucharest Stock Exchange is not efficient at the highest frequencies and becomes efficient as we reduce the frequencies. We also found evidence that for certain frequencies the sign is dependent on the mean in the previous period return and the first four moments hold some autocorrelations with their lags at some high frequency levels.

KEYWORDS: intra-daily returns, Gram-Charlier expansion, direction of change.

JEL classification: G17.