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This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.
Ștefan Gherghina; Daniel Armeanu; Camelia Joldeș. COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach. Journal of Risk and Financial Management 2021, 14, 341 .
AMA StyleȘtefan Gherghina, Daniel Armeanu, Camelia Joldeș. COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach. Journal of Risk and Financial Management. 2021; 14 (8):341.
Chicago/Turabian StyleȘtefan Gherghina; Daniel Armeanu; Camelia Joldeș. 2021. "COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach." Journal of Risk and Financial Management 14, no. 8: 341.
The objective of the present paper is to determine the existence of a link between energy, CO2 emissions, economic growth, and urbanization worldwide level. Therefore, to achieve our goal, we approached a series of statistical techniques that allow us to study the cointegration between variables, impulse response function to follows the effect of a shock that occurred, and not least we investigated the types of causality that are established through the Granger causality test. We selected annual data for the period of 1990–2014, for a number of 106 countries. The empirical results confirmed the presence of long-term associations. The impulse response functions and the variance decomposition gave us an overview on how the variables: renewable energy consumption, types of energy, economic growth, CO2, and urbanization are explained by the others variables. Following the Granger causality test, both unidirectional and bidirectional causal relationships were identified. We are confident that our empirical results should be of interest to researchers, regulatory institutions, and investors as well.
Daniel Stefan Armeanu; Camelia Catalina Joldes; Stefan Cristian Gherghina; Jean Vasile Andrei. Understanding the multidimensional linkages among renewable energy, pollution, economic growth and urbanization in contemporary economies: Quantitative assessments across different income countries’ groups. Renewable and Sustainable Energy Reviews 2021, 142, 110818 .
AMA StyleDaniel Stefan Armeanu, Camelia Catalina Joldes, Stefan Cristian Gherghina, Jean Vasile Andrei. Understanding the multidimensional linkages among renewable energy, pollution, economic growth and urbanization in contemporary economies: Quantitative assessments across different income countries’ groups. Renewable and Sustainable Energy Reviews. 2021; 142 ():110818.
Chicago/Turabian StyleDaniel Stefan Armeanu; Camelia Catalina Joldes; Stefan Cristian Gherghina; Jean Vasile Andrei. 2021. "Understanding the multidimensional linkages among renewable energy, pollution, economic growth and urbanization in contemporary economies: Quantitative assessments across different income countries’ groups." Renewable and Sustainable Energy Reviews 142, no. : 110818.
This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019–April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths’ cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.
Ștefan Cristian Gherghina; Daniel Ștefan Armeanu; Camelia Cătălina Joldeș. Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis. International Journal of Environmental Research and Public Health 2020, 17, 6729 .
AMA StyleȘtefan Cristian Gherghina, Daniel Ștefan Armeanu, Camelia Cătălina Joldeș. Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis. International Journal of Environmental Research and Public Health. 2020; 17 (18):6729.
Chicago/Turabian StyleȘtefan Cristian Gherghina; Daniel Ștefan Armeanu; Camelia Cătălina Joldeș. 2020. "Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis." International Journal of Environmental Research and Public Health 17, no. 18: 6729.
This paper explores the relative stock market performance of well-diversified gender equality equity indices in comparison with the overall market, taking both a cross-sectoral and a financial sector approach, for the period January 2017 to March 2020, with a sample of 11 indices and 834 daily observations, and using several different statistical and econometric methods. Our results show a high level of dynamic conditional correlation of daily returns among the gender equality and the overall indices. We also found comparable levels of conditional volatility (resulting from an Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH)model) and an elevated degree of synchronization of the volatility regimes (identified by a Markov switching model). Calibrating simple linear quantile regressions, we found that the value of the slope coefficients of the hypothetical linear relationship between the gender equality indices and the overall market indices are close to one, and relatively stable in relation with the value of the quantile. Using separate Vector Autoregressive (VAR) models for the cross-sectoral indices and for the financial sector indices, we found only very little evidence of causality and spill-over effects. Based on these results, we argue that the daily returns of the gender equality indices exhibited very similar characteristics with the daily returns of the overall market indices. In our interpretation, this could mean that, limited to our sample and methods of investigation, there were not significant differences in the investors’ preferences towards the equity issued by public companies committed to supporting gender equality, in comparison with their approach towards listed equity in general. It could also mean that investors do not yet anticipate the significantly different financial performance of listed companies stemming from their approach towards gender equality.
Leonardo Badea; Daniel Ştefan Armeanu; Dan Costin Nițescu; Valentin Murgu; Iulian Panait; Boris Kuzman. A Study of the Relative Stock Market Performance of Companies Recognized for Supporting Gender Equality Policies and Practices. Sustainability 2020, 12, 3558 .
AMA StyleLeonardo Badea, Daniel Ştefan Armeanu, Dan Costin Nițescu, Valentin Murgu, Iulian Panait, Boris Kuzman. A Study of the Relative Stock Market Performance of Companies Recognized for Supporting Gender Equality Policies and Practices. Sustainability. 2020; 12 (9):3558.
Chicago/Turabian StyleLeonardo Badea; Daniel Ştefan Armeanu; Dan Costin Nițescu; Valentin Murgu; Iulian Panait; Boris Kuzman. 2020. "A Study of the Relative Stock Market Performance of Companies Recognized for Supporting Gender Equality Policies and Practices." Sustainability 12, no. 9: 3558.
Energy is considered a critical driver of social and economic progress, but the use of conventional energy from fossil fuel sources is viewed as the main contributor to greenhouse gases that cause global warming. To overcome such issues, renewable energy technologies appeared as a viable substitute which lessens pollutant emissions and protect the environment. This paper investigates the impact of energy consumption and environmental pollution on economic growth, also exploring the causal associations, for a sample of 11 Central and Eastern European states over the period 2000 to 2016. The outcomes of panel data regressions indicate evidence of a non-linear link between renewable energy (both overall, as well as in form of hydro and wind power) and gross domestic product per capita growth. The non-linear relations were also established in case of alternative & nuclear energy and fossil fuel energy consumption. However, the influence of non-renewable energy on growth was not statistically significant, whereas greenhouse gases emissions exhibited mostly a positive impact on economic growth. The robustness checks by panel fully modified and dynamic ordinary least squares showed almost the similar pattern of results. The results of Granger causalities within six panel vector error correction models supported in the short-run the conservation hypothesis for renewable energy (overall), but also for hydro power and solid biofuels, excluding charcoal. In the long-run the growth hypothesis was established for renewable energy (overall), along with wind power, solid biofuels, excluding charcoal and geothermal energy. The findings imply that CEECs policy makers should consider imperative investments in the development of renewable energy sector.
Daniel Ştefan Armeanu; Ştefan Cristian Gherghina; George Pasmangiu. Exploring the Causal Nexus between Energy Consumption, Environmental Pollution and Economic Growth: Empirical Evidence from Central and Eastern Europe. Energies 2019, 12, 3704 .
AMA StyleDaniel Ştefan Armeanu, Ştefan Cristian Gherghina, George Pasmangiu. Exploring the Causal Nexus between Energy Consumption, Environmental Pollution and Economic Growth: Empirical Evidence from Central and Eastern Europe. Energies. 2019; 12 (19):3704.
Chicago/Turabian StyleDaniel Ştefan Armeanu; Ştefan Cristian Gherghina; George Pasmangiu. 2019. "Exploring the Causal Nexus between Energy Consumption, Environmental Pollution and Economic Growth: Empirical Evidence from Central and Eastern Europe." Energies 12, no. 19: 3704.
His paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.
Daniel Ştefan Armeanu; Camelia Cătălina Joldeş; Ştefan Cristian Gherghina. On the Linkage between the Energy Market and Stock Returns: Evidence from Romania. Energies 2019, 12, 1463 .
AMA StyleDaniel Ştefan Armeanu, Camelia Cătălina Joldeş, Ştefan Cristian Gherghina. On the Linkage between the Energy Market and Stock Returns: Evidence from Romania. Energies. 2019; 12 (8):1463.
Chicago/Turabian StyleDaniel Ştefan Armeanu; Camelia Cătălina Joldeş; Ştefan Cristian Gherghina. 2019. "On the Linkage between the Energy Market and Stock Returns: Evidence from Romania." Energies 12, no. 8: 1463.
This paper explores the sensitivity of Romanian collective investment undertakings’ returns to changes in equity, fixed income and foreign exchange market returns. We use a sample of 80 open-end investment funds and pension funds with daily returns between 2016 and 2018. Our methodology consists of measuring changes in the daily conditional volatility for the fund returns (EGARCH) and changes in their conditional correlation with selected market risk factors (DCC MV-GARCH) throughout different volatility regimes identified using a Markov Regime Switching model. We argue that, on average, the level of conditional correlations between funds and market risk factors remained stable and unconcerned by the volatility regimes. In addition, for only less than half of the funds in the sample, their volatility regimes were synchronized with those of the selected market risk factors. We found that, on average, fund returns are more correlated with equity returns and less correlated with changes in local bond yields, while not being significantly influenced by changes in foreign bond yields or changes in foreign exchange. During the period investigated equity returns were the most volatile while the funds returns volatility were, on average, much more reduced. Overall, our results show the resilience of the Romanian collective investment sector to the selected market risk factors, during the investigated period.
Leonardo Badea; Daniel Ştefan Armeanu; Iulian Panait; Ştefan Cristian Gherghina. A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. Sustainability 2019, 11, 1325 .
AMA StyleLeonardo Badea, Daniel Ştefan Armeanu, Iulian Panait, Ştefan Cristian Gherghina. A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. Sustainability. 2019; 11 (5):1325.
Chicago/Turabian StyleLeonardo Badea; Daniel Ştefan Armeanu; Iulian Panait; Ştefan Cristian Gherghina. 2019. "A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings." Sustainability 11, no. 5: 1325.
After implementing harsh austerity measures during 2008–2011, in the period 2012–2014 the fiscal adjustment programs also involved social equity measures, the quantitative fiscal consolidation being changed into a qualitative one—a reduction of the structural budget deficit accompanied by an improvement of social sustainability indicators. The 2015–2017 period shows mixed evolutions in terms of social progress brought by the recovery of the economic potential lost during the crisis. This research analyzes the sustainability of economic competitiveness dynamics from a social viewpoint during 2012–2014. In this paper, we analyze the way in which the economic and social components of fiscal adjustment programs are dynamically balanced in 24 EU member states. We identify four clusters of countries depending on the relationship between fiscal consolidation/fiscal stimulation and the social dynamics of the sustainability adjusted global competitiveness index. We found that under the pressure of “fiscal adjustment fatigue” caused by tough austerity programs in the period 2008–2011, most of the European countries completed the fiscal adjustment packages with measures to improve the social situation between 2012 and 2017. The fiscal consolidation programs have become more balanced from the perspective of the combination of budgetary austerity—social equity measures. Furthermore, we analyze how some countries on the EU periphery (Central and Eastern Europe, Baltic countries and Portugal, Ireland and Greece, countries that have joined the EU with a lower level of development) are experiencing or not an improvement in the social sustainability generated by the measures aimed at stimulating the economic growth implemented during 2012–2017. To conclude, we proposed a few pillars that could be integrated if an “ideal adjustment program” is to be achieved.
Cristian Socol; Marius Marinas; Aura Gabriela Socol; Dan Armeanu. Fiscal Adjustment Programs versus Socially Sustainable Competitiveness in EU Countries. Sustainability 2018, 10, 3390 .
AMA StyleCristian Socol, Marius Marinas, Aura Gabriela Socol, Dan Armeanu. Fiscal Adjustment Programs versus Socially Sustainable Competitiveness in EU Countries. Sustainability. 2018; 10 (10):3390.
Chicago/Turabian StyleCristian Socol; Marius Marinas; Aura Gabriela Socol; Dan Armeanu. 2018. "Fiscal Adjustment Programs versus Socially Sustainable Competitiveness in EU Countries." Sustainability 10, no. 10: 3390.
This study aims at empirically investigating the drivers of sustainable economic growth in EU-28 countries. By means of panel data regression models, in the form of fixed and random effects models, alongside system generalized method of moments, we examine several drivers of real gross domestic product (GDP) growth rate, as follows: higher education, business environment, infrastructure, technology, communications, and media, population lifestyle, and demographic changes. As regards higher education, the empirical results show that expenditure per student in higher education and traditional 18–22 year-old students are positively linked with sustainable economic growth, whereas science and technology graduates negatively influence real GDP growth. In terms of business environment, total expenditure on research and development and employment rates of recent graduates contributes to sustainable development, but corruption perceptions index revealed a negative association with economic growth. As well, the results provide support for a negative influence of infrastructure abreast technological measures on economic growth. Besides, we found a negative connection between old-age dependency ratio and sustainable economic growth.
Daniel Ştefan Armeanu; Georgeta Vintilă; Ştefan Cristian Gherghina. Empirical Study towards the Drivers of Sustainable Economic Growth in EU-28 Countries. Sustainability 2017, 10, 4 .
AMA StyleDaniel Ştefan Armeanu, Georgeta Vintilă, Ştefan Cristian Gherghina. Empirical Study towards the Drivers of Sustainable Economic Growth in EU-28 Countries. Sustainability. 2017; 10 (2):4.
Chicago/Turabian StyleDaniel Ştefan Armeanu; Georgeta Vintilă; Ştefan Cristian Gherghina. 2017. "Empirical Study towards the Drivers of Sustainable Economic Growth in EU-28 Countries." Sustainability 10, no. 2: 4.
Energy is crucial to economic progress, but the contemporary worldwide population increase that demands greater energy generated from conventional exhaustible resources, an energy price upsurge, and environmental concerns, imperils sustainable economic growth. Nevertheless, switching to renewable energy produced from naturally replenished resources promotes energy security, likewise addressing issues such as global warming and climate change. This paper aims at exploring the influence and causal relation between renewable energy, both overall and by type, and sustainable economic growth of European Union (EU)-28 countries for the period of 2003–2014. We notice that the mean share of renewable energy in the gross final energy consumption is 15%, while the mean share of renewable energy in transport fuel consumption is 3%, which are below the thresholds of 20% and 10%, respectively, as set by the EU Directive 2009/28/EC. By estimating panel data fixed-effects regression models, the results provide support for a positive influence of renewable energy overall, as well as by type, namely biomass, hydropower, geothermal energy, wind power, and solar energy on gross domestic product per capita. However, biomass energy shows the highest influence on economic growth among the rest of renewable energy types. In fact, a 1% increase of the primary production of solid biofuels increases GDP per capita by 0.16%. Besides, cointegrating regressions set on panel fully modified and dynamic ordinary least squares regressions confirm the positive influence related to the primary production of renewable energies on economic growth. A 1% increase in primary production of renewable energies increases GDP per capita by 0.05%–0.06%. However, the results of Granger causality based on panel vector error correction model indicate both in short-run and long-run a unidirectional causal relationship running from sustainable economic growth to the primary production of renewable energies, being supported the conservation hypothesis.
Daniel Ştefan Armeanu; Georgeta Vintilă; Ştefan Cristian Gherghina. Does Renewable Energy Drive Sustainable Economic Growth? Multivariate Panel Data Evidence for EU-28 Countries. Energies 2017, 10, 381 .
AMA StyleDaniel Ştefan Armeanu, Georgeta Vintilă, Ştefan Cristian Gherghina. Does Renewable Energy Drive Sustainable Economic Growth? Multivariate Panel Data Evidence for EU-28 Countries. Energies. 2017; 10 (3):381.
Chicago/Turabian StyleDaniel Ştefan Armeanu; Georgeta Vintilă; Ştefan Cristian Gherghina. 2017. "Does Renewable Energy Drive Sustainable Economic Growth? Multivariate Panel Data Evidence for EU-28 Countries." Energies 10, no. 3: 381.
The recent financial crisis highlighted the need for a strong emphasis on the effectiveness of board risk oversight practices. Good corporate governance upholds effective risk management, which in turn ensures the flexibility to reply to unpredicted threats and take benefit of opportunities. Thus, risk management affords corporate resilience that engenders competitive advantage due to the capacity to circumvent, deter, defend, react, and adjust to any kind of disturbance, besides recovering quickly. Guaranteeing that the board is prepared and adequately resilient to deal with a crisis circumstance is a crucial part of good governance. By employing a data set of companies listed in Romania, this paper analyzes whether boards of directors influence risk management. We measure boards by means of size, independence, diversity, establishment of Consultative Committees, as well as CEO duality, gender, age, and tenure. Based on ten financial ratios, we develop two risk indicators regarding shareholders’ wealth and short-term risk, alongside a global business failure risk tool, by means of principal component analysis. Furthermore, the output of the multivariate regression analysis show that CEO gender, the size of the board, and Audit Committee negatively influence business failure risk.
Daniel Ştefan Armeanu; Georgeta Vintilă; Ştefan Cristian Gherghina; Dan Cosmin Petrache. Approaches on Correlation between Board of Directors and Risk Management in Resilient Economies. Sustainability 2017, 9, 173 .
AMA StyleDaniel Ştefan Armeanu, Georgeta Vintilă, Ştefan Cristian Gherghina, Dan Cosmin Petrache. Approaches on Correlation between Board of Directors and Risk Management in Resilient Economies. Sustainability. 2017; 9 (2):173.
Chicago/Turabian StyleDaniel Ştefan Armeanu; Georgeta Vintilă; Ştefan Cristian Gherghina; Dan Cosmin Petrache. 2017. "Approaches on Correlation between Board of Directors and Risk Management in Resilient Economies." Sustainability 9, no. 2: 173.