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Autori: CORNELIA POP, MARIA-ANDRADA GEORGESCU.
DOI: 10.24193/subbnegotia.2024.2.04
Published Online: 2024-06-30
pp. 73-111
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As highlighted by Pop & Georgescu (2024), the Romanian academic literature concerning municipal bonds is sparse, while the investigations regarding the factors that can influence the sub-sovereign bond trading at Bucharest Stock Exchange is quasi non-existent, to the best of authors’ knowledge.
The present paper continues the work of Pop & Georgescu (2024) by trying to identify which of the public available information regarding various interest rates and Bucharest Stock Exchange (henceforth BVB) indices returns influence the trading activity of municipal bond market segment.
The correlations presented within this paper imply that the modest profile of municipal bond segment at BVB is related to a relative small number of individual investors that dominate the transactions, using mostly observed data to decided when to trade and what to trade. The scarce correlations that appear in relation with the trading volume and trading value point toward the idea that only a small portion of the listed municipal bonds are owned by individual investors.This study evaluates the diversification benefits of investing in traditional and alternative/renewable energy Exchange Traded Funds (ETFs) using the VAR-ADCC-GARCH model to analyze yields, correlations, and volatilities. The results demonstrate that alternative/renewable energy ETFs not only offer higher average returns but also significantly reduce portfolio risk compared to traditional energy ETFs. The research underscores the distinct investment dynamics between the two ETF segments, highlighting the advantages of incorporating renewable energy assets into diversified portfolios. These findings support the inclusion of environmentally-conscious investment strategies that effectively balance risk and return, emphasizing their importance for investors aiming to optimize their portfolios in line with sustainable practices.
Keywords: municipal bond, Romania, correlations
JEL classification: G12
