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

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  • Razvan STEFANESCU

    ()
    (Dunarea de Jos University of Galati, Romania)

  • Ramona DUMITRIU

    ()
    (Dunarea de Jos University of Galati, Romania)

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.

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File URL: http://www.ann.ugal.ro/eco/Doc2011_2/StefanescuDumitriu.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): (2011)
Issue (Month): 2 ()
Pages: 61-66

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Handle: RePEc:ddj:fseeai:y:2011:i:2:p:61-66

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Related research

Keywords: Differentials of the Stock Returns; Exchange Rates; Global Crisis; Cointegration; Granger Causality;

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  1. Wasserfallen, Walter, 1990. "Expected and unexpected changes in nominal and real variables--evidence from the capital markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 9(1), pages 92-107, March.
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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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