Correlating stock exchange indices under both normal and financial crisis conditions
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 i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2012-11-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/797.pdf
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| _version_ | 1819231543101489152 |
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| author | Gabriela-Victoria ANGHELACHE Andreea NEGRU CIOBANU |
| author_facet | Gabriela-Victoria ANGHELACHE Andreea NEGRU CIOBANU |
| author_sort | Gabriela-Victoria ANGHELACHE |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-23T11:46:38Z |
| format | Article |
| id | doaj.art-c057b6076a13472d9cccef7c84f71f06 |
| institution | Directory Open Access Journal |
| issn | 1841-8678 1844-0029 |
| language | English |
| last_indexed | 2024-12-23T11:46:38Z |
| publishDate | 2012-11-01 |
| publisher | General Association of Economists from Romania |
| record_format | Article |
| series | Theoretical and Applied Economics |
| spelling | doaj.art-c057b6076a13472d9cccef7c84f71f062022-12-21T17:48:20ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86781844-00292012-11-01XIX11758418418678Correlating stock exchange indices under both normal and financial crisis conditionsGabriela-Victoria ANGHELACHE0Andreea NEGRU CIOBANU1 The Bucharest University of Economic Studies The Bucharest University of Economic Studies 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. http://store.ectap.ro/articole/797.pdf financial crisiscapital marketcontagioncorrelation testsstock exchange indices |
| spellingShingle | Gabriela-Victoria ANGHELACHE Andreea NEGRU CIOBANU Correlating stock exchange indices under both normal and financial crisis conditions Theoretical and Applied Economics financial crisis capital market contagion correlation tests stock exchange indices |
| title | Correlating stock exchange indices under both normal and financial crisis conditions |
| title_full | Correlating stock exchange indices under both normal and financial crisis conditions |
| title_fullStr | Correlating stock exchange indices under both normal and financial crisis conditions |
| title_full_unstemmed | Correlating stock exchange indices under both normal and financial crisis conditions |
| title_short | Correlating stock exchange indices under both normal and financial crisis conditions |
| title_sort | correlating stock exchange indices under both normal and financial crisis conditions |
| topic | financial crisis capital market contagion correlation tests stock exchange indices |
| url |
http://store.ectap.ro/articole/797.pdf
|
| work_keys_str_mv | AT gabrielavictoriaanghelache correlatingstockexchangeindicesunderbothnormalandfinancialcrisisconditions AT andreeanegruciobanu correlatingstockexchangeindicesunderbothnormalandfinancialcrisisconditions |