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

The Annals of “Dunarea de Jos” University of Galati, No. 2, 2009

16 Pages Posted: 21 Dec 2012

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: 2009

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.

Keywords: Romanian financial markets, Vector Autoregression, GARCH, Granger causality, financial linkages

JEL Classification: G19, C01

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania (2009). The Annals of “Dunarea de Jos” University of Galati, No. 2, 2009. Available at SSRN: https://ssrn.com/abstract=2191631

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

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