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

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.

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Year of publication:	2011
Authors:	Panait, Iulian
Published in:	Romanian Economic Journal. - Facultatea de Relatii Economice Internationale. - Vol. 14.2011, 39, p. 233-255
Publisher:	Facultatea de Relatii Economice Internationale
Subject:	contagion \| correlation \| crisis \| emerging markets \| stock markets \| volatility

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Extent:	application/pdf
Type of publication:	Article
Classification:	G01 - Financial Crises ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009002713