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

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Listed:
  • Nistor, Costel
  • Stefanescu, Razvan
  • Dumitriu, Ramona

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.

Suggested Citation

  • Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
    • Handle: RePEc:pra:mprapa:36862
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    References listed on IDEAS

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    More about this item

    Keywords

    Financial Linkages; Romanian Stock Market; Crisis; Vector Autoregressive Model;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G01 - Financial Economics - - General - - - Financial Crises

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