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UNIVERSITATEA BABE BOLYAI CLUJ-NAPOCA FACULTATEA DE TIINE ECONOMICE I GESTIUNEA AFACERILOR DEPARTAMENTUL DE FINANE Anul univ !"i#$!

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PROGRAMA ANALITICA
Disciplina: FINANE EMPIRICE Specializarea:MASTERAT * BPC+ FCA+ ESA+

C$,i#-lul I. Noiuni fundamentale privind econometria seriilor de timp: proces stochastic, staionaritate, zgomot alb, procese autoregresive i de medie mobil, modele heteroscedastice; modele econometrice cu variabile exogene i ipotezele lor C$,i#-lul II. !robleme empirice "n estimarea riscului de pia Surse bibliografice:
# $odea % , &''(, Managementul investiiilor pe piaa de capital , )d *asa *rii de +tiin, *lu,Napoca, capitolul . / prezentare general a problematicii; # $odea % , &''&, Caracterul instabil al riscului de pia, evideniat empiric pe piaa romneasc, 0evista 0om1n de Statistic, n23, p &(-(4 / prezentare la seminar 5articolul se mai gsete i pe site-ul 666 7mar7et ro, seciunea documentare8 # %ltman ) , 9ac:uillat ; , <evasseur = , 3>?., La stabilit du coefficient bta, %nal@se financiAre, 3Ar trimestre 5articol care se va fotocopia8; prezentare la seminar # Dimson ) , 3>?>, Ris measurement !"en s"ares are sub#ect to infre$uent trading , 9ournal of Binancial )conomics, n2?, p 3>?-&&C # Da6a6ini E , 3>F', %ntertemporal cross dependance in securities dail& returns and t"e s"ort term intervalling effect on s&stematic ris , 9ournal of Binancial and Guantitative %nal@sis, n234, martie, 3(>-3.> # Da6a6ini E , 3>F(, '"& beta s"ifts as t"e return interval c"anges (, Binancial %nal@sts 9ournal, mai-iunie, p ?(-?? # Scholes = , Hilliams 9 , 3>??, )stimating betas from non*s&nc"ronous data , 9ournal of Binancial )conomics, n24, ('>-(&F

C$,i#-lul ) Ipoteza de pia eficient informaional i impactul ei "n gestiunea portofoliilor de active financiare !rocese de evoluie ale cursurilor bursiere Ipoteza de mers aleator i formele ei Ipoteza de martingale Surse bibliografice:
# *ambell 9 J , <o % H i =acKinla@ % 3>>F, +"e )conometrics of ,inancial Mar ets , !rinceton Lniversit@ !ress, Ne6 9erse@ # $odea % , &''4, )ficiena informaional a pieelor de capital, )d *asa *rii de Stiin, *lu,Napoca # Bama ) B , 3>?', )fficient Capital Mar ets- . Revie! of +"eor& and )mpirical 'or , 9ournal of Binance, vol &4, n2&, martie, p (F(-.3? # Bama ) B , 3>>3, M)ficient capital mar7ets:IIN, 9ournal of Binance, vol O<PI, nr 4, p 34?4-3C3?

C$,i#-lul / Studiul previzibilitii cursurilor bursiere sau eficiena "n sens slab $estarea ipotezei de martingale: teste de autocorelare, testele raportului varianelor i testele bazate pe analiz spectral Surse bibliografice:
# )scanciano, 9 * and Pelasco * 5&''C8 Eeneralized spectral tests for the martingale difference h@pothesis, /ournal of )conometrics, ')/, 343/3F4 # $ruong Dong <oc, Eer <an,ou6 and 0obert <ensin7, &''F, Stoc7-mar7et efficienc@ in thin-trading mar7ets: the case of the Pietnamese stoc7 mar7et, .pplied )conomics, p 3-3. # ;orges = 0 , &'3', )fficient mar7et h@pothesis in )uropean stoc7 mar7ets, +"e )uropean /ournal of ,inance, vol 3C, p ?33-?&C # Do:ue D , Kim 9 D and !@un * S 5&''?8 % comparison of variance ratio tests of random 6al7: % case of %sian emerging stoc7 mar7ets, %nternational Revie! of )conomics0,inance, vol 3C, p .FF-4'& # $odea % , &''4, )ficiena informaional a pieelor de capital, )d *asa *rii de Stiin, *lu,Napoca # Kosfeld 0 and 0obe S 5&''38 $esting for nonlinearities in Eerman ban7 stoc7 returns, )mpirical )conomics, vol &C, p 4F3-4>?

C$,i#-lul 0 $este de evoluie a eficienei informaionale =odele cu parametrii variabili estimai prin filtre Kalman i abordarea MferestrelorN )ficiena relativ i construirea de clasamente ale pieelor de capital Surse bibliografice:
# 0oc7inger = et Lrga E 5&'''8 Q $he )volution of Stoc7 =ar7ets in $ransition )conomies R, /ournal of Comparative )conomics, &F, pp .4C-.?& # 0oc7inger = et Lrga E 5&''38 Q % $ime Par@ing !arameter =odel to $est for !redictabilit@ and Integration in the Stoc7 =ar7ets of $ransition )conomies R, /ournal of 1usiness 0 )conomic 2tatistics , vol 3>, n2 3, pp ?(-F. # *a,ueiro, D and $aba7, ; 5&''.8 0an7ing efficienc@ for emerging mar7ets, C"aos, 2olitons and ,ractals, %%, (.>/4& # Eiglio, 0 , =atsushita, 0 and DaSilva S 5&''F8 $he relative efficienc@ of stoc7 mar7ets, )conomics 1ulletin, 1, 3/3& # <im, K ! 5&''?8 0an7ing mar7et efficienc@ for stoc7 mar7ets: a nonlinear perspective, !h@sica %, )12, ..4/.4. # <im, K ! 5&''>8 )fficienc@ tests of the LK financial futures mar7ets and the impact of electronic trading s@stems: a note on relative mar7et efficienc@, .pplied )conomics Letters, '2, 33&>/33(& # <im, K ! and ;roo7s, 0 D 5&'3'8 Hh@ do emerging stoc7 mar7ets experience more persistent price deviations from a random 6al7 over timeS % countr@-level anal@sis, Macroeconomic 3&namics, '/, (/ .3 # 0isso, H % 5&''>8 $he informational efficienc@: the emerging mar7ets versus the developed mar7ets, .pplied )conomics Letters, '2, .F4/.F? # $odea, % and Toica-Ienciu, % 5&''F8 )pisodic dependencies in *entral and )astern )urope stoc7 mar7ets, .pplied )conomics Letters, '0, 33&(/33&C

C$,i#-lul 2 Schimbri structurale i impactul acestora asupra pieelor financiare $este de rdcin unitar cu rupturi structurale $este de rupturi "n volatilitate Surse bibliografice:
# !erron, ! 53>F>8, U$he Ereat *rash, the Vil !rice Shoc7 and the Lnit 0oot D@pothesisW, )conometrica 4?, 3(C3/3.'3 # Tivot, % and %ndre6s, D H K 53>>&8, UBurther )vidence on the Ereat *rash, the Vil !rice Shoc7 and the Lnit 0oot h@pothesisW, 9ournal of ;usiness and )conomic Statistics 3'5(8, &43/&?' # <ee, 9 and Strazicich, = 5&''(8, U=inimum <= Lnit 0oot $est 6ith $6o Structural ;rea7sW, 0evie6 of )conomics and Statistics F45.8, 3'F&/3'F> # !laton D and $odea % 5&'3'8 Sudden changes in volatilit@ in *entral and )astern )uropean foreign exchange ma7ets, %pplied )conomics, under revie!4

# Hang, ! X =oore, $ 5&''>8, Sudden changes in volatilit@: $he case of five central )uropean stoc7 mar7ets, /ournal of %nternational ,inancial Mar ets, %nstitutions and Mone&, vol 3>, no 3: (( / .C

C$,i#-lul 1 )fectul de persisten i memoria lung "n seriile financiare )xponentul Durst *onstruirea modelelor cu memorie lung Surse bibliografice:
# Kasman S , $urgutlu ) and %@han D 5&''>8 <ong memor@ in stoc7 returns: evidence from the ma,or emerging *entral )uropean stoc7 mar7ets, .pplied )conomics Letters, 3C, 3?C( / 3?CF # ;ond D and D@son K 5&''F8 <ong memor@ and nonlinearit@ in stoc7 mar7ets, .pplied ,inancial )conomics Letters, ., .4 / .F # Sadi:ue, S and Silvapulle, ! 5&''38 <ong-term memor@ in stoc7 mar7et returns: international evidence, International 9ournal of Binance and )conomics, C, 4>/C? # Denr@, V $ 5&''&8 <ong memor@ in stoc7 returns: some international evidence, %pplied Binancial )conomics, 3&, ?&4/>

C$,i#-lul 3. Strategii ale analizei tehnice =etodologia de studiu a profitabilitii strategiilor analizei tehnice Surse bibliografice:
# <e;aron, ; Y$echnical trading rule profitabilit@ and foreign exchange intervention N /ournal of %nternational )conomics, .> 53>>>8, 3&4-3.( # <ee, * , K Eleason, and I =athur Y$rading 0ule !rofits in <atin %merican *urrenc@ Spot 0ates N %nternational Revie! of ,inancial .nal&sis, 3' 5&''38, 3(4-34C # Vlson, D YDave trading rule profits in the currenc@ mar7ets declined over timeSN /ournal of 1an ing and ,inance, &F 5&''.8, F4/3'4 # Gi, =in, and Jangru Hu 5&''C8, $echnical $rading-0ule !rofitabilit@, Data Snooping, and 0ealit@ *hec7: )vidence from the Boreign )xchange =ar7et, /ournal of Mone&, Credit, and 1an ing, Pol (F, No F 5December &''C8

C$,i#-lul 4 $este de apreciere ale performanei iniiailor 0ecomandrile analitilor Surse bibliografice: # Eu@varcWh % , Contribution des initis a l5efficience informationnelle , *ahier de recherche n2 >?3&,
prezentare la seminar, se va transmite prin internet # Eu@varcWh % , Conse$uences des oprations d5initis sur la composante d5as&mtrie d5information de la fourc"ette, *ahier de recherche n2 >C'4, prezentare la seminar, se va transmite prin internet

C$,i#-lul '& %nomalii bursiere Surse bibliografice: # $odea % , *ornea % , &''(, .nomalii sau ineficiene pe piaa de capital din Romnia, volumul
Simpozionului internaional: Specializare, Dezvoltare i Integrare, Seciunea Binane, 3.-34 noiembrie &''(, p (>&-.''; prezentare la seminar; se va transmite prin internet # $odea % , &''., Les anomalies boursieres- une revue de la litterature , Studia Veconomica, L;; *lu,-Napoca, n2&; prezentare genaral a problematicii; se va transmite prin internet # De;ondt H , $haler 0 , 3>F4, 3oes t"e stoc mar et overreact( , 9ournal of Binance, vol .', p ?>(F'4; prezentare la seminar; se va transmite prin internet

C$,i#-lul '' Impactul anunului dividendului asupra cursului bursier: teoria semnalului i teoria suprainvestiiei 5teoria cash-flo6 /lor libere8 Surse bibliografice: # Dumontier ! , &''', Le dividende, l5entreprise et l5actionnaire, Eestion, vol &4, n2(; prezentare
general a problematicii; se transmite prin internet # *alvi-0eve@ron = , 3>>>, Ris$ue de surinvestissement, signalisation et annonce du dividende- le cas francais , Binance *ontrZle Strat[gie, vol &, n2(, prezentare la seminar; se va transmite prin internet # 0omon B , 6trognit de l5actionnariat et contenu informatif des dividendes , document de travail, se va transmite prin internet; prezentare la seminar # ;ellalah = , &''.5S8, Rfle7ions sur la politi$ue optimale de dividendes en prsence de co8ts d5information, document de travail, se va transmite prin internet

C$,i#-lul '% Impactul ma,orrilor de capital asupra cursului bursier Surse bibliografice: # $opsacalian ! , &''&, L5augmentation de capital et la sous*performance des titres ,
;an:ueX=arch[, mai-iunie; prezentare la seminar; se va fotocopia # %bet $ , Dereeper, 3>>F, .ugmentation de capital- le role de la ban$ue , prezentare la seminar; se va transmite prin internet # 0itter 9 0 , 3>>3, +"e Long*Run 9erformance of %nitial 9ublic :fferings , 9ournal of Binance, vol .C, n23, martie, p (-&?; prezentare la seminar; se va transmite prin internet # 0itter 9 0 , 3>>4, +"e ;e! %ssues 9u<<le, 9ournal of Binance, vol 4', n23, martie, p &(-43 # Derepeer S , &''35%BBI8, La fentre d5mission d5actions sur le marc" boursier francais ; se va transmite prin internet

C$,i#-lul ') )valuarea performanei fondurilor de investiii Eestiunea activ versus gestiunea pasiv Surse bibliografice: # $odea % , &''(, Managementul investiiilor pe piaa de capital , )d *asa *rii de +tiin, *lu,Napoca, capitolul > / prezentare sumar a problematicii; # <eonard-$ouchais E , Les 2%C.= actions francaises >??@*A@@@- mesure et attribution de la performance, prezentare la seminar; se va transmite prin internet # %ftalion B , &''3, Les performances des :9C=M actions francaises , ;an:ueX=arch[, mai-iunie; se va prezenta la seminar; se va fotocopia # ;ergeruc < , &''3, La mesure de la performance des :9C=M actions francaises- le p"nomBne de persistance, ;an:ueX=arch[, ianuarie-februarie; se va fotocopia # Ippolito 0 , 3>F>, )fficienc& !it" costl& information- . stud& of mutual fund performance, >?CD*EF , Guarterl@ 9ournal of )conomics, vol 3'., p 3-&(; se va transmite prin internet # *arhart = , 3>>?, :n 9ersistance in Mutual ,und 9erformance, 9ournal of Binance, vol 4&, n23, p 4?-F&; se va transmite prin internet

Ti#ul$! 5 5i"6i,lin$+ C-n7.5!. ALE8ANDRU TODEA

Di! 6#-! 5 5 ,$!#$9 n#+ P!-7.univ.5!. CIUMAS CRISTINA

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