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Study of the Correlation between the Romanian Stock Market and S&P500 Index during 2007-2009

Author

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  • Iulian Panait

    (PhD candidate, Bucharest Academy of Economic Studies, Romania)

Abstract

This article aims to study the evolution of the Bucharest Stock Exchange (BSE) and the particularities of its correlation with international stock markets during Jan 2007 - Dec 2009. The linear regression and correlation analysis on weekly and monthly data shows a good degree of synchronization between the main indices of BSE and S&P500, but also sometimes a specific behavior of the Romanian stock market that could be at least partly explained by its lack of maturity.

Suggested Citation

  • Iulian Panait, 2011. "Study of the Correlation between the Romanian Stock Market and S&P500 Index during 2007-2009," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(39), pages 233-255, March.
    • Handle: RePEc:rej:journl:v:14:y:2011:i:39:p:233-255
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    File URL: http://www.rejournal.eu/sites/rejournal.versatech.ro/files/articole/2011-03-01/2108/panait-je39.pdf
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    Citations

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    Cited by:

    1. DUȚĂ, Violeta, 2018. "Using The Symmetric Models Garch (1.1) And Garch-M (1.1) To Investigate Volatility And Persistence For The European And Us Financial Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(1), pages 64-86.
    2. Panait, Iulian & Slavescu, Ecaterina Oana, 2011. "Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007-2011," MPRA Paper 41786, University Library of Munich, Germany.

    More about this item

    Keywords

    contagion; correlation; crisis; emerging markets; stock markets; volatility;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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