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The Analysis of the Correlation Intensity Between Emerging Market During Economic Crisis

Author

Listed:
  • Daniel ARMEANU

    (The Academy of Economic Studies)

  • Cristina Andreea DOIA

    (The Academy of Economic Studies)

  • Melania HANCILA

    (The Academy of Economic Studies)

  • Sorin CIOACA

    (The Academy of Economic Studies)

Abstract

Within the study we focused on an analysis of any dependence that may connect some emerging countries aiming mainly to emphasize the intensity of correlations between different financial markets. For this purpose we took into consideration two emerging markets, i.e. Romania and Turkey, due to the fact that they are two countries with common history which goes back long time, with similar approach of facts and working, negotiating or investing capacities. It is acknowledged that Turkey is a country which has not faced the world’s economic crisis and had one of the most dynamic economic growth during the last years and now Istanbul Stock Exchange records economic growth with two figures, acting like a magnet for foreign investments and specially, portfolio investments. Furthermore, almost half of the turnover belongs to foreign investors. The main idea of our analysis is to outline how much the Turkish Stock Exchange impacts the Romanian financial market.

Suggested Citation

  • Daniel ARMEANU & Cristina Andreea DOIA & Melania HANCILA & Sorin CIOACA, 2013. "The Analysis of the Correlation Intensity Between Emerging Market During Economic Crisis," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(2), pages 307-318, May.
    • Handle: RePEc:rsr:supplm:v:61:y:2013:i:2:p:307-318
    as

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    File URL: http://www.revistadestatistica.ro/suplimente/2013/2_2013/srrs2_2013a48.pdf
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    References listed on IDEAS

    as
    1. Burcu ARACIOGLU & Fatma DEMIRCAN & Harun UCAK, 2011. "Mean–Variance–Skewness–Kurtosis Approach to Portfolio Optimization: An Application in Istanbul Stock Exchange," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 11(Special I), pages 9-17.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. 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.
    2. Daniel Stefan ARMEANU & Adrian ENCIU & Sorin-Iulian CIOACA, 2017. "How Important is the Contagion Effect for the Romanian Capital Market?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 265-282, June.
    3. Daniel Stefan ARMEANU & Adrian ENCIU & Carmen OBREJA & Sorin-Iulian CIOACÃ, 2016. "The Financial Crisis’ Impact on the Central and Eastern Europe Capital Markets," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 17(5), pages 420-431, December.

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    More about this item

    Keywords

    cointegration; emerging financial markets; normality; unit root; regression; return; risk; stationarity;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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