The impact of the US stock market on the Romanian stock market in the context of the financial crisis
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36862.
Date of creation: 06 Nov 2009
Date of revision: 22 Feb 2012
Financial Linkages; Romanian Stock Market; Crisis; Vector Autoregressive Model;
Find related papers by 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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