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Financial Contagion in the Recent Financial Crisis: Evidence from the Romanian Capital Market

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  • CărăuÈ™u Dumitru-NicuÈ™or

    (“Alexandru Ioan Cuza" University of Iași)

Abstract

We use the wavelet analysis in order to investigate if financial contagion occurred between the US and the Romanian capital market in the beginning of the recent economic crisis. Moreover, we test presence of pure and fundamental contagion between the two markets using wavelet coherency analysis and maximal overlap discrete wavelet transform methodology. We find evidence of pure financial contagion between the two markets: during the sub-primes crisis period, the Lehman Brothers collapse and at the beginning of sovereign debt crisis. Furthermore, we find a general short-term increase in interdependence between the two markets in the ex-ante and ex-post Lehman brothers period. Meanwhile, the capital market from Romania and US were in perfect sync during 2007-2009 for high trading time-windows. This implies that the Romanian market was sensitive to short-term shock from the US market, which lead to a long-term fundamental contagion.

Suggested Citation

  • CărăuÈ™u Dumitru-NicuÈ™or, 2017. "Financial Contagion in the Recent Financial Crisis: Evidence from the Romanian Capital Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 519-524, December.
    • Handle: RePEc:ovi:oviste:v:xvii:y:2017:i:2:p:519-524
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    References listed on IDEAS

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    More about this item

    Keywords

    financial contagion; capital markets; financial crisis; wavelet analysis;
    All these keywords.

    JEL classification:

    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing
    • M48 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Government Policy and Regulation
    • H83 - Public Economics - - Miscellaneous Issues - - - Public Administration

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