Information Transmission between International Stock Markets and Bucharest Stock Exchange during a Turbulent Period (2007-2009)

Cristiana Tudor

Revista OEconomica, 2009, issue 03

Abstract:

­This paper investigates the di­rection of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for Romania and the multinational Morgan Stanley Capital International World Index.

Keywords: Granger causality; information flow; price spillover (search for similar items in EconPapers)
JEL-codes: C02 G14 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:oen:econom:y:2009:i:03:id:181

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