The impact of the US stock market on the Romanian stock market in the context of the financial crisis

Costel Nistor, Razvan Stefanescu and Ramona Dumitriu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper explores the stock market interlinkages between the United States and Romania during the actual financial crisis. For this purpose we analyze, in a Vector Autoregressive framework, daily values of Dow Jones and BET, being two reference indexes for the US and the Romanian Stock markets. By comparing with the results for a more tranquil period of time, we conclude that in the context of the financial crisis the Romanian stock market became more sensitive to the US stock market evolution.

Keywords: Financial Linkages; Romanian Stock Market; Crisis; Vector Autoregressive Model (search for similar items in EconPapers)
JEL-codes: G01 G10 G15 (search for similar items in EconPapers)
Date: 2009-11-06, Revised 2012-02-22
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Published in Proceedings of the International Scientific Conference “Challenges for Analysis of the Economy, the Businesses, and Social Progress”, Szeged, November 19-21, 2009 (2010): pp. 636-655

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36862

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