Interactions between the Exchange Rates and the Differential of the Stock Returns between Romania and US during the Global Crisis

Razvan Stefanescu () and Ramona Dumitriu
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Razvan Stefanescu: Dunarea de Jos University of Galati, Romania

Economics and Applied Informatics, 2011, issue 2, 61-66

Abstract: The relation between the foreign exchange markets and the stock markets is still a controversial subject in the specialized literature. Recent studies revealed the changes that occur in this relation during the financial crisis. In this paper we approach the interactions between the exchange rates and the differentials of the stock returns between Romania and the US in the period of the global crisis. We find some significant differences in this relations during the main stages of the crisis.

Keywords: Differentials of the Stock Returns; Exchange Rates; Global Crisis; Cointegration; Granger Causality (search for similar items in EconPapers)
JEL-codes: F31 G01 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fseeai:y:2011:i:2:p:61-66

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