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Interactions between the Exchange Rates and the Differential of the Stock Returns between Romania and US during the Global Crisis

Author

Listed:
  • Razvan STEFANESCU

    (Dunarea de Jos University of Galati, Romania)

  • Ramona DUMITRIU

    (Dunarea de Jos University of Galati, Romania)

Abstract

The relation between the foreign exchange markets and the stock markets is still a controversial subject in the specialized literature. Recent studies revealed the changes that occur in this relation during the financial crisis. In this paper we approach the interactions between the exchange rates and the differentials of the stock returns between Romania and the US in the period of the global crisis. We find some significant differences in this relations during the main stages of the crisis.

Suggested Citation

  • Razvan STEFANESCU & Ramona DUMITRIU, 2011. "Interactions between the Exchange Rates and the Differential of the Stock Returns between Romania and US during the Global Crisis," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 61-66.
    • Handle: RePEc:ddj:fseeai:y:2011:i:2:p:61-66
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    File URL: http://www.ann.ugal.ro/eco/Doc2011_2/StefanescuDumitriu.pdf
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    References listed on IDEAS

    as
    1. Wasserfallen, Walter, 1990. "Expected and unexpected changes in nominal and real variables--evidence from the capital markets," Journal of International Money and Finance, Elsevier, vol. 9(1), pages 92-107, March.
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    Cited by:

    1. Stefanescu, Razvan & Dumitriu, Ramona, 2013. "Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange," MPRA Paper 47229, University Library of Munich, Germany, revised 04 Apr 2013.

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    More about this item

    Keywords

    Differentials of the Stock Returns; Exchange Rates; Global Crisis; Cointegration; Granger Causality;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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