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
Date Written: September 24, 2009
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: Suggested Citation