The Analysis of the Correlation Intensity Between Emerging Market During Economic Crisis

Dan Armeanu (), Cristina Andreea Doia, Melania Hancila and Sorin Cioaca
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Cristina Andreea Doia: The Academy of Economic Studies
Melania Hancila: The Academy of Economic Studies
Sorin Cioaca: The Academy of Economic Studies

Romanian Statistical Review Supplement, 2013, vol. 61, issue 2, 307-318

Abstract: Within the study we focused on an analysis of any dependence that may connect some emerging countries aiming mainly to emphasize the intensity of correlations between different financial markets. For this purpose we took into consideration two emerging markets, i.e. Romania and Turkey, due to the fact that they are two countries with common history which goes back long time, with similar approach of facts and working, negotiating or investing capacities. It is acknowledged that Turkey is a country which has not faced the world’s economic crisis and had one of the most dynamic economic growth during the last years and now Istanbul Stock Exchange records economic growth with two figures, acting like a magnet for foreign investments and specially, portfolio investments. Furthermore, almost half of the turnover belongs to foreign investors. The main idea of our analysis is to outline how much the Turkish Stock Exchange impacts the Romanian financial market.

Keywords: cointegration; emerging financial markets; normality; unit root; regression; return; risk; stationarity (search for similar items in EconPapers)
JEL-codes: C10 C19 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:rsr:supplm:v:61:y:2013:i:2:p:307-318

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