Linkages between the Stock Prices and the Exchange Rates During the Global Crisis: The Case of Romania

6 Pages Posted: 12 Feb 2012

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Costel Nistor

University Dunarea De Jos Galati

Date Written: March 24, 2011

Abstract

Since the Asian flu several empirical studies revealed that in the crisis circumstances the relationship between the stock prices and the exchange rates could suffer significant changes. Such findings were confirmed during the global crisis that started in 2008. In the case of Romania the global crisis caused sharp shocks on both the capital market and the foreign exchange market. Contagion from the foreign financial markets and some impulses from the national economy led to complex evolutions of both markets, where ascendant and descendent trends alternated. In this paper we study the interactions between the stock prices and the exchange rates during some distinct stages of the recent crisis. We find that contagion from the foreign financial markets, the exchange rates policy changes and the national economy situation had a major impact on the relationship between the stock prices and the exchange rates.

Keywords: Global Crisis, Stock Prices, Exchange Rates, Causality

JEL Classification: G01, G19

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel, Linkages between the Stock Prices and the Exchange Rates During the Global Crisis: The Case of Romania (March 24, 2011). Available at SSRN: https://ssrn.com/abstract=2003349 or http://dx.doi.org/10.2139/ssrn.2003349

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

Costel Nistor

University Dunarea De Jos Galati ( email )

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