Dynamic relations between CDS and stock markets in Eastern European countries

Asandului, Mircea and Lupu, Dan and Mursa, Gabriel Claudiu and Muşetescu, Radu (2015): Dynamic relations between CDS and stock markets in Eastern European countries. Published in: Economic Computation and Economic Cybernetics Studies and Research No. 4 (30 December 2015): pp. 151-170.

Abstract

This study examines whether there is a price discovery type relationship between CDS and stock market at the level of 5 Eastern European countries for the period 2004-2014. The analysis follows the pattern of the financial time series: testing the structural breaks, the stationarity, cointegration and subsequently the development of VAR models. The study finds out that before and after the crisis, the stock market has played a crucial role in the price discovery phenomenon while during the financial crisis period and of the sovereign debts there has been an inverse relationship and the CDS has influenced the stock market.

• Item Type: MPRA Paper
• Language: English
• Keywords: CDS, stock market, cointegration, price discovery
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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