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Theoretical and Applied Economics
No. 11 / 2012 (576)

Correlating stock exchange indices under both normal and financial crisis conditions

Gabriela-Victoria ANGHELACHE
The Bucharest University of Economic Studies
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.

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