Conceptual dimensions regarding the financial contagion and the correlation with the stock market in Romania

Ionuț Nica and Nora Chiriță
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Ionuț Nica: Bucharest University of Economic Studies, Romania
Nora Chiriță: Bucharest University of Economic Studies, Romania

Theoretical and Applied Economics, 2020, vol. XXVII, issue 1(622), Spring, 75-86

Abstract: The economy, defined as a set of economic activities, can be described as a network, having as links companies (banking, non-banking), public entities, non-governmental organizations. Of late years, bank accidents have led to a significant disruption of the financial system worldwide. One of the objectives of this paper is to analyze the stock market by measuring the stock indices to evaluate the extent to which events such as the crisis of 2008 or the explosion of the Swiss franc have impacted the stock market and whether a systemic event with impact on the stock market has formed. The stock market in Romania will also be analyzed through the BET-FI stock index to observe the impact of events in other countries and to demonstrate how a shock can spread from one market to other markets such as the domino effect. Another objective is to explain the concept of financial contagion from a theoretical point of view, how it can be transmitted and how we can quantify it. The analysis will be performed in R software. The presented results will be focused around the theme of systemic events with an impact on banking networks.

Keywords: capital market; financial contagion; systemic risk; financial network; R 3.5.1. (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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