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Study of the Correlation between the Romanian Stock Market and S&P500 Index during 2007-2009

Iulian Panait ()

Romanian Economic Journal, 2011, vol. 14, issue 39, 233-255

Abstract: This article aims to study the evolution of the Bucharest Stock Exchange (BSE) and the particularities of its correlation with international stock markets during Jan 2007 - Dec 2009. The linear regression and correlation analysis on weekly and monthly data shows a good degree of synchronization between the main indices of BSE and S&P500, but also sometimes a specific behavior of the Romanian stock market that could be at least partly explained by its lack of maturity.

Keywords: contagion; correlation; crisis; emerging markets; stock markets; volatility (search for similar items in EconPapers)
JEL-codes: G01 G14 G15 (search for similar items in EconPapers)
Date: 2011
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Handle: RePEc:rej:journl:v:14:y:2011:i:39:p:233-255