Regression Models Applied in the Analysis of the Romanian Capital Market

The analysis of the activity of the Bucharest Stock Exchange can be realized with the help of a complex system of indexes. Out of these, an especially important role in the creation of a real image on the performances of the main stock exchange institution of Romania is held by the BET (Bucharest Exchange Trading) index. One of the factors with significant influence on the value of BET is the stock exchange capitalization. This is an indicator on the potential of a stock exchange which reflects the market value of listed companies and can be determined as sum of the product between the number of shares issued by each listed entity and its corresponding market price. This paper describes the analysis of a data series (daily frequency) regarding the value of BET index and stock exchange capitalization in 2012. The 250 terms of the series subjected to econometric analysis are collected from official sources.