The contagion phenomena on the Romanian capital market, correlation, integration and investor behaviour

摘要

This study aims to investigate the degree of co-movements between Romanian and European capital markets as a measure of possible contagion. Since the general perception also supported by empirical evidence, is that an integration process should be observable in a higher correlation between markets. We tested whether such an increase in correlation occurred during the financial crisis that began in 2007 and in the mean time we test the link between correlation and volatility on capital markets.