Linkages between the stock prices and the exchange rates during the global crisis: the case of Romania

Since the Asian flu several empirical studies revealed that in the crisis circumstances the relationship between the stock prices and the exchange rates could suffer significant changes. Such findings were confirmed during the global crisis that started in 2008. In the case of Romania the global crisis caused sharp shocks on both the capital market and the foreign exchange market. Contagion from the foreign financial markets and some impulses from the national economy led to complex evolutions of both markets, where ascendant and descendent trends alternated. In this paper we study the interactions between the stock prices and the exchange rates during some distinct stages of the recent crisis. We find that contagion from the foreign financial markets, the exchange rates policy changes and the national economy situation had a major impact on the relationship between the stock prices and the exchange rates.