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

Authors: 
Panait, Iulian
Publication date: 
2011/03/01
JEL codes: 
G01 - Financial Crises, G14 - Information and Market Efficiency; Event Studies, G15 - International Financial Markets.
Abstract: 
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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