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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Financial Linkages, Romanian Stock Market, Crisis, Vector Autoregressive Model
• Subjects: G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G0 - General > G01 - Financial Crises

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