Munich Personal RePEc Archive

The impact of the US stock market on the Romanian stock market in the context of the financial crisis

Nistor, Costel and Stefanescu, Razvan and Dumitriu, Ramona (2009): The impact of the US stock market on the Romanian stock market in the context of the financial crisis. Published in: Proceedings of the International Scientific Conference “Challenges for Analysis of the Economy, the Businesses, and Social Progress”, Szeged, November 19-21, 2009 (8. March 2010): pp. 636-655.

[img]
Preview
PDF
MPRA_paper_36862.pdf

Download (169kB) | Preview

Abstract

This paper explores the stock market interlinkages between the United States and Romania during the actual financial crisis. For this purpose we analyze, in a Vector Autoregressive framework, daily values of Dow Jones and BET, being two reference indexes for the US and the Romanian Stock markets. By comparing with the results for a more tranquil period of time, we conclude that in the context of the financial crisis the Romanian stock market became more sensitive to the US stock market evolution.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.