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Romanian Capital Market in a Globalized World

Author

Listed:
  • Daniel Stefan Armeanu

    (Bucharest University of Economic Studies, Romania)

  • Adrian Enciu

    (Bucharest University of Economic Studies, Romania)

  • Sorin-Iulian Cioaca

    (Bucharest University of Economic Studies, Romania)

Abstract

Globalization is a central topic in the financial literature, as its impact observed or estimated on local economies is sometimes invalidated by the macroeconomic variables. The positive effects induced by globalization are usually closely followed by several preconditions of future crisis, leading to an exposure of less developed economies to shocks induced by globalized markets. In this article, we use the daily returns of 12 capital markets - developed, emergent and frontier markets (mainly from the Central and Eastern Europe), between January 1st, 2007-March, 17th, 2017, in order to reveal the impact that turbulences on these markets have on the Romanian capital market. We use VAR models to capture the impact the developed capital markets have on the less developed Romanian capital market. The obtained results show the major influence that the developed capital markets, especially the US capital market, have on the volatility of the daily returns from the Romanian capital market. This result emphasizes the need for a reform of the Romanian capital market, in order to better fulfill its role as a financing venue for the Romanian companies.

Suggested Citation

  • Daniel Stefan Armeanu & Adrian Enciu & Sorin-Iulian Cioaca, 2017. "Romanian Capital Market in a Globalized World," Working papers Globalization - Economic, Social and Moral Implications, April 2017 2, Research Association for Interdisciplinary Studies.
    • Handle: RePEc:smo:wpaper:2
    DOI: 10.5281/zenodo.581756
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    References listed on IDEAS

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    5. Daniel Stefan ARMEANU & Carmen Emilia PASCAL & Sorin-Iulian CIOACA, 2014. "Managing Contagion Risk During Economic, Financial And Political Shocks," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 8(1), pages 1148-1157, November.
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    7. Donald R. Davis, 1996. "Trade Liberalization and Income Distribution," NBER Working Papers 5693, National Bureau of Economic Research, Inc.
    8. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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    Cited by:

    1. Ioana Raluca ANDREI, 2021. "The impact of non-banking financial markets on economic development," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(627), S), pages 5-18, Summer.

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    More about this item

    Keywords

    capital market; contagion risk; volatility;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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