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Conceptual dimensions regarding the financial contagion and the correlation with the stock market in Romania

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  • Ionuț NICA

    (Bucharest University of Economic Studies, Romania)

  • Nora CHIRIȚĂ

    (Bucharest University of Economic Studies, Romania)

Abstract

The economy, defined as a set of economic activities, can be described as a network, having as links companies (banking, non-banking), public entities, non-governmental organizations. Of late years, bank accidents have led to a significant disruption of the financial system worldwide. One of the objectives of this paper is to analyze the stock market by measuring the stock indices to evaluate the extent to which events such as the crisis of 2008 or the explosion of the Swiss franc have impacted the stock market and whether a systemic event with impact on the stock market has formed. The stock market in Romania will also be analyzed through the BET-FI stock index to observe the impact of events in other countries and to demonstrate how a shock can spread from one market to other markets such as the domino effect. Another objective is to explain the concept of financial contagion from a theoretical point of view, how it can be transmitted and how we can quantify it. The analysis will be performed in R software. The presented results will be focused around the theme of systemic events with an impact on banking networks.

Suggested Citation

  • Ionuț NICA & Nora CHIRIȚĂ, 2020. "Conceptual dimensions regarding the financial contagion and the correlation with the stock market in Romania," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(622), S), pages 75-86, Spring.
    • Handle: RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:75-86
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    References listed on IDEAS

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    3. Xavier Freixas & Jean-Charles Rochet, 2008. "Microeconomics of Banking, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262062704, April.
    4. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Win), pages 14-23.
    5. Morris Goldstein, 1998. "The Asian Financial Crisis," Policy Briefs PB98-1, Peterson Institute for International Economics.
    6. Morris Goldstein, 1998. "Asian Financial Crisis: Causes, Cures and Systemic Implications, The," Peterson Institute Press: All Books, Peterson Institute for International Economics, number pa55, January.
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    Cited by:

    1. Nora CHIRIȚĂ & Ionuț NICA, 2020. "Analysis of the impact generated by COVID-19 in banking institutions and possible economic effects," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(624), A), pages 21-40, Autumn.
    2. Ionuț NICA, 2020. "Simulation of financial contagion effect using the NetLogo software at the level of the banking network," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(624), A), pages 55-74, Autumn.
    3. Nora CHIRIȚĂ & Ionuț NICA, 2020. "An approach to measuring credit risk in a banking institution from Romania," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(623), S), pages 65-78, Summer.

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