ISSN: 2349-5677 Volume 1, Issue 1, June 2014 12 Investigating International Causal Linkages Between Latin European Stock Markets In Terms Of Global Financial Crisis : A Case Study For Romania, Spain And Italy Marian Siminică, Ph.D University of Craiova, Faculty of Economics and Business Administration Craiova, Romania msiminica@yahoo.com Ramona Birău, Ph.D Regional Public Finances General Directorate of Craiova Craiova, Romania birauramona@yahoo.com Abstract The aim of this research paper is to investigate international causal linkages between Latin European stock markets, such as Romania, Spain and Italy in terms of global financial crises. Moreover, the structure of this research paper includes both theoretical developments and new empirical findings. In recent past, the global phenomenon of increasing co-integration, co- movement and financial contagion between developed and emerging stock markets have significantly influenced foreign investment behavior. The global financial crisis has seriously affected the international financial architecture and global economic stability due to unprecedented dynamic financial contractions. In addition, as strictly economic approach, Romanian labor migration generates a very high level in Italy and Spain as main destination countries. On the other hand, financial integration and international causal linkages suggest a certain behavioral pattern between receiving societies. The financial econometrics approach includes various tools such as Unit Root Test, Hodrick-Prescott (HP) filter, Augmented Dickey- Fuller stationary test, BDS test and Granger causality test. The final results provides a comprehensive framework regarding international portfolio diversification, risk management and strategic investment decision making process. Key words : stock market linkages, cointegration, volatility, spillover effects, investment process, financial integration, Granger causality, risk management, time-varying processes