No 20 - December 2010
Athenaeum University

USING THE MARKET MODEL ON ROMANIAN STOCK EXCHANGE

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1. Authors:
     • Ph. D. Professor Daniel ARMEANU, Afiliation: Academy of Economic Studies Bucharest
     • Master Student Cristina Andreea DOIA, Afiliation: Academy of Economic Studies Bucharest
     • Ph.D. Student Andreea NEGRU, Afiliation: Academy of Economic Studies Bucharest
     • Ph.D. Nataliţa HURDUC, Afiliation: „Athenaeum” University Bucharest

   Pages:
     • 13|20

2. Keywords: market model, systematic risk (market risk), unsystematic risk (idiosyncratic risk), volatility, correlation coefficient, etc.

3. Abstract:
   One of the concerns in portfolio management is to anticipate market evolution, generally given by a stock index. The market value of a stock is connected to the trends of the index; each security follows, more or less, the index trend line. This relationship between the return on a financial security and the return on a market index outlines the concept of market model.

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