Theoretical and Applied Economics
No. 11 / 2012 (576)
Correlating stock exchange indices under both normal and financial crisis conditions
The Bucharest University of Economic Studies
Andreea NEGRU CIOBANU
The Bucharest University of Economic Studies
Abstract. Until the years 1980 the financial crisis were considered as being limited to the level of the capital market (individually), without bearing a systemic character. If considering the intensification of the globalization process, we attended at the increase of the degree of commercial and financial integration of the states all over the world. Thus, gradually, the local financial crisis have propagated at the level of the world financial system. The consequences of these financial crisis did not limited to the markets of the countries where they launched, but spread rapidly on the world markets – an effect known in the literature as contagion. In this article we have tried to evaluate the importance of the contagion effects on the capital markets, by utilizing certain econometric methods, from the correlation tests, to the co-integration tests. Meantime, we have tried to show that during the period of the most severe financial crisis from the Second World War up to date, the degree of correlation of the markets amplifies.
Keywords: financial crisis; capital market; contagion; correlation tests; stock exchange indices.
Contents
- Aspects regarding the analysis
of inflation evolution
Constantin ANGHELACHE
Vergil VOINEAGU
Gabriela-Victoria ANGHELACHE
Alexandru MANOLE
- A macroeconometric panel data analysis
of the shaping factors of labour emigration
within the European Union
Liana SON
Graţiela Georgiana NOJA
- Accounting’s shift to decision-based costing
Gary COKINS
Sorinel CĂPUŞNEANU
Sorin BRICIU
- The Anglo-Saxon model of employment
in the current economic context.
The case of United Kingdom
Mirela Ionela ACELEANU
- The economic analysis of bureaucracy
and government growth
Mihai UNGUREANU
Diana IANCU
- Correlating stock exchange indices
under both normal and financial crisis conditions
Gabriela-Victoria ANGHELACHE
Andreea NEGRU CIOBANU
- Improving public sector performance
by strenghtening the relationship
between audit and accounting
Adelina DUMITRESCU
- Corporate social responsibility,
a strategy to create and consolidate
sustainable businesses
Mariana Cristina GANESCU
- The political economy of women’s professional
basketball in the United States:
A structure-conduct-performance approach
Ariel ANTHONY
Steven B. CAUDILL
Franklin G. MIXON, Jr.
- Social cohesion – a post-crisis analysis
Alina Magdalena MANOLE