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

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  • Iulian Panait

    ()
    (PhD candidate, Bucharest Academy of Economic Studies, Romania)

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.

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Bibliographic Info

Article provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.

Volume (Year): 14 (2011)
Issue (Month): 39 (March)
Pages: 233-255

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Handle: RePEc:rej:journl:v:14:y:2011:i:39:p:233-255

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Related research

Keywords: contagion; correlation; crisis; emerging markets; stock markets; volatility;

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Cited by:
  1. Panait, Iulian & Slavescu, Ecaterina Oana, 2011. "Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007-2011," MPRA Paper 41786, University Library of Munich, Germany.

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