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Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania

Author

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  • Razvan STEFANESCU
  • Ramona DUMITRIU

    (“Dunarea de Jos University” Galati, Romania)

Abstract

This paper explores the financial linkages between the Romanian stock market and the exchange market in the context of the global crisis. We investigate such relations for two periods of time: one from January 2006 to February 2008, when the Romanian financial markets were quite tranquil and the other from March 2008 to September 2009, while the global crisis effects were considerable for Romania. For the first period of time we could not prove significant relations between the foreign exchange market and the stock market. Instead, for the second period of time we found a unidirectional causality from the exchange rates to the stock prices.

Suggested Citation

  • Razvan STEFANESCU & Ramona DUMITRIU, 2009. "Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 255-270.
    • Handle: RePEc:ddj:fseeai:y:2009:i:2:p:255-270
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    File URL: http://www.ann.ugal.ro/eco/Doc2009_2/Stefanescu_Dumitriu.pdf
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    References listed on IDEAS

    as
    1. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2002. "On the Causality between Exchange Rates and Stock Prices: A Note," Bulletin of Economic Research, Wiley Blackwell, vol. 54(2), pages 197-203, April.
    2. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871.
    3. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521839198.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange," MPRA Paper 47229, University Library of Munich, Germany, revised 04 Apr 2013.
    2. Abdul RASHID & Aamir JAVED & Zainab JEHAN & Uzma IQBAL, 2022. "Time-Varying Impacts of Macroeconomic Variables on Stock Market Returns and Volatility : Evidence from Pakistan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-166, October.

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    More about this item

    Keywords

    Romanian financial markets; Vector Autoregression; GARCH; Granger causality; financial linkages;
    All these keywords.

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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