Theoretical and Applied Economics
No. 3 / 2025 (644), Autumn
Non-linearity and market behavior in the Romanian capital market: a rescaled range analysis of BET index
Transilvania University of Brasov
Abstract. This study employs Rescaled Range (R/S) analysis to investigate the non-linear dynamics and long-range dependence of returns in the Romanian capital market, specifically analyzing the benchmark BET index from 2000 to 2024. By calculating the Hurst exponent over Fibonacci-based subseries, the research examines the extent of persistence and non-random behavior within the index. Additionally, the Lyapunov exponent was estimated to assess the sensitivity of the BET index to initial conditions, providing insights into potential chaotic dynamics. The results reveal significant long-term memory, persistent trends, and marginally chaotic behavior, indicated by a positive yet near-zero Lyapunov exponent. These findings challenge the assumptions of weak-form market efficiency and align with earlier studies highlighting structural and behavioral inefficiencies in emerging financial markets. The implications are significant for investors, suggesting that trend-following strategies might offer superior predictive capacity compared to traditional random-walk models. For policymakers and regulators, the evidence underscores the need for enhanced market transparency and institutional robustness to mitigate structural inefficiencies. Overall, this study contributes to the growing literature that applies complexity science to financial markets, emphasizing the necessity of integrating nonlinear analytical frameworks for a deeper understanding of market dynamics in emerging economies.
Contents
Development and implementation of an Activity-Based Costing (ABC) model in private Higher Education Institutions (HEI)
Capital, coal, and change: modelling India's energy substitutability with a translog production framework
Unemployment in Ghana: analyzing the asymmetric effects of export processing zones in dealing with the problem
A PRISMA-based systematic literature review on the mismatches between the Romanian higher education system and the labor market needs
Transition effect from deposit and policy interest rates to credit interest rates in Türkiye: detecting asymmetry
The effect of fiscal decentralization and monetary policy on economic resilience in Indonesia: a panel data
The implications of demographic changes on economic performance – a comparative analysis of RO vs EU 27
Pensions under pressure: economic and demographic drivers of Romania’s public retirement system
Productivity shocks, exchange rate and migration: a new open economy macroeconomics approach
Energy vulnerabilities among Europeans in the Ukrainian war context
Empirical analysis of the relationship between FDI and economic growth in Morocco
Climate-driven monetary policy: a new Keynesian DSGE analysis for Ghana
Monitoring the implementation of the Sustainable Development Goals in Romania
Insurance and sustainable structural transformation: Does renewable energy matter?
Natural resources and the price of freedom. A concise analysis of Ukraine’s natural resources and who wins more from their direct exploitation?
Assessing the macroeconomic impact of fiscal deficit in India: evidence from ARDL approach
Non-linearity and market behavior in the Romanian capital market: a rescaled range analysis of BET index
From adversity to triumph: Türkiye's economic resilience and adaptation strategies amidst disasters
Trust at first reply and how AI-language systems alter human trust calibration
The economic value of data. From data to decisions in the public sector