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Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania

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Author Info

  • Razvan STEFANESCU

    ()

  • Ramona DUMITRIU

    ()
    (“Dunarea de Jos University” Galati, Romania)

Abstract

This paper explores the financial linkages between the Romanian stock market and the exchange market in the context of the global crisis. We investigate such relations for two periods of time: one from January 2006 to February 2008, when the Romanian financial markets were quite tranquil and the other from March 2008 to September 2009, while the global crisis effects were considerable for Romania. For the first period of time we could not prove significant relations between the foreign exchange market and the stock market. Instead, for the second period of time we found a unidirectional causality from the exchange rates to the stock prices.

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File URL: http://www.ann.ugal.ro/eco/Doc2009_2/Stefanescu_Dumitriu.pdf
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Bibliographic Info

Article provided by "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration in its journal Economics and Applied Informatics.

Volume (Year): (2009)
Issue (Month): 2 ()
Pages: 255-270

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Handle: RePEc:ddj:fseeai:y:2009:i:2:p:255-270

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Postal: No. 59-61, Nicolae Balcescu Street, Postal Code 800008, Galati
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Related research

Keywords: Romanian financial markets; Vector Autoregression; GARCH; Granger causality; financial linkages;

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References

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  1. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2002. "On the Causality between Exchange Rates and Stock Prices: A Note," Bulletin of Economic Research, Wiley Blackwell, Wiley Blackwell, vol. 54(2), pages 197-203, April.
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Cited by:
  1. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange," MPRA Paper 47229, University Library of Munich, Germany, revised 04 Apr 2013.

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