Abstract. In the frame of this article, by applying the linear regression model, we proceed to the analysis of the existing dependence between the value recorded by the Bucharest Exchange Trading index (meaning the overall evolution of the capital market in Romania) and that of the stock exchange capitalization. The application of this econometric model provides to the capita investors a series of necessary information meant to fix their behaviour during the forthcoming periods.

Keywords: regression model, capitalization, BET index, statistical tests, the least squares method.