Romanian Stock Market Integration with Europe: A Covid-19 Perspective

Botond Benedek
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Botond Benedek: Babeș-Bolyai University, Faculty of Economics and Business Administration, Cluj-Napoca, Romania

SEA - Practical Application of Science, 2025, vol. XIII, issue 38, 113-121

Abstract: Understanding the interconnectedness of financial markets is essential for assessing market efficiency, risk transmission, and financial integration, particularly in the context of global shocks. While the COVID-19 pandemic has prompted numerous empirical investigations into international stock market co-movements, important gaps remain regarding the integration between developed and emerging European markets. This study explores the degree of integration between the Romanian stock market and major developed Western European markets, with a particular emphasis on Germany, Romania’s largest trading partner. Employing partial wavelet coherence analysis, we analyze the co-movement between the German DAX and Romanian BET indices across three distinct periods: before, during, and after the COVID-19 pandemic. The findings reveal that the pandemic temporarily weakened market integration, but this effect was reversed in the post-pandemic period, with integration not only recovering but intensifying. These results carry important implications for investors, policymakers, and scholars concerned with financial contagion, regional integration, and the resilience of emerging markets in the European context.

Keywords: Financial Market Integration; Co-movement; Covid-19 Pandemic; Partial Wavelet Coherence (search for similar items in EconPapers)
JEL-codes: G10 G11 G18 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:cmj:seapas:y:2025:i:38:p:113-121

DOI: 10.70147/s38113121

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