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Information Transmission between International Stock Markets and Bucharest Stock Exchange during a Turbulent Period (2007-2009)

Author

Listed:
  • Tudor Cristiana

    (Academia de Studii Economice din Bucureşti)

Abstract

­This paper investigates the di­rection of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for Romania and the multinational Morgan Stanley Capital International World Index.

Suggested Citation

  • Tudor Cristiana, 2009. "Information Transmission between International Stock Markets and Bucharest Stock Exchange during a Turbulent Period (2007-2009)," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 03, September.
    • Handle: RePEc:oen:econom:y:2009:i:03:id:181
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    More about this item

    Keywords

    Granger causality; information flow; price spillover;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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