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Romanian Stock Market Integration with Europe: A Covid-19 Perspective

Author

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  • Botond BENEDEK

    (Babeș-Bolyai University, Faculty of Economics and Business Administration, Cluj-Napoca, Romania)

Abstract

Understanding the interconnectedness of financial markets is essential for assessing market efficiency, risk transmission, and financial integration, particularly in the context of global shocks. While the COVID-19 pandemic has prompted numerous empirical investigations into international stock market co-movements, important gaps remain regarding the integration between developed and emerging European markets. This study explores the degree of integration between the Romanian stock market and major developed Western European markets, with a particular emphasis on Germany, Romania’s largest trading partner. Employing partial wavelet coherence analysis, we analyze the co-movement between the German DAX and Romanian BET indices across three distinct periods: before, during, and after the COVID-19 pandemic. The findings reveal that the pandemic temporarily weakened market integration, but this effect was reversed in the post-pandemic period, with integration not only recovering but intensifying. These results carry important implications for investors, policymakers, and scholars concerned with financial contagion, regional integration, and the resilience of emerging markets in the European context.

Suggested Citation

  • Botond BENEDEK, 2025. "Romanian Stock Market Integration with Europe: A Covid-19 Perspective," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, vol. 0(38), pages 113-121, September.
    • Handle: RePEc:cmj:seapas:y:2025:i:38:p:113-121
    DOI: 10.70147/s38113121
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    Keywords

    Financial Market Integration; Co-movement; Covid-19 Pandemic; Partial Wavelet Coherence;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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