标题：COINTEGRATION ANALYSIS OF EUROPEAN STOCK MARKETS (ROMANIA, GERMANY, FRANCE AND POLAND) FROM THE PERSPECTIVE OF THE NET ASSETS INVESTMENT OF THE ROMANIAN MANDATORY PRIVATE PENSION FUNDS
摘要：The goal of this paper is to investigate cointegration between Bucharest Stock Exchange and three European Stock Markets: Germany, France and Poland, respectively. The choice of the European markets is based on the net assets investment of the Romanian mandatory private pension funds. On June 30, 2016, according to the Romanian Financial Supervisory Authority 91.28% of all investments in shares of private pension funds have been performed in Romanian shares, while the rest of 8.72% (0.44 billion lei) have been performed in shares issued by Germany (2.34%), France (2.23%), Poland (0.89%) and other countries. Having the intention of achieving maximizing returns by managing risk, and also to capture the co-movements in the above markets, we perform the cointegration analysis to examine portfolio diversification of the Romanian mandatory private pension funds. The empirical analysis is based on daily closing prices of the BET Index, DAX 30 Index, CAC 40 Index and WIG 20 Index and covers the period from 30 January 2006 to 27 September 2016 (2713 observations).
