The Impact of the Us Stock Market on the Romanian Stock Market in the Context of the Financial Crisis

15 Pages Posted: 6 Oct 2012

See all articles by Costel Nistor

Costel Nistor

University Dunarea de Jos Galati

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: September 24, 2009

Abstract

This paper explores the stock market interlinkages between the United States and Romania during the actual financial crisis. For this purpose we analyze, in a Vector Autoregressive framework, daily values of Dow Jones and BET, being two reference indexes for the US and the Romanian Stock markets. By comparing with the results for a more tranquil period of time, we conclude that in the context of the financial crisis the Romanian stock market became more sensitive to the US stock market evolution.

Keywords: Financial Linkages, Romanian Stock Market, Crisis, Vector Autoregressive Model

JEL Classification: G01, G10, G15

Suggested Citation

Nistor, Costel and Stefanescu, Razvan and Dumitriu, Ramona, The Impact of the Us Stock Market on the Romanian Stock Market in the Context of the Financial Crisis (September 24, 2009). Available at SSRN: https://ssrn.com/abstract=2157364 or http://dx.doi.org/10.2139/ssrn.2157364

Costel Nistor (Contact Author)

University Dunarea de Jos Galati ( email )

Galati, 800001
Romania

Razvan Stefanescu

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

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