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Dynamic relations between CDS and stock markets in Eastern European countries

Author

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  • Asandului, Mircea
  • Lupu, Dan
  • Mursa, Gabriel Claudiu
  • Muşetescu, Radu

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.

Suggested Citation

  • Asandului, Mircea & Lupu, Dan & Mursa, Gabriel Claudiu & Muşetescu, Radu, 2015. "Dynamic relations between CDS and stock markets in Eastern European countries," MPRA Paper 95506, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:95506
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    References listed on IDEAS

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    Cited by:

    1. Nuri Avsarligil & Emre Turgut, 2021. "A Study on the Relationship between CDS Premiums and Stock Market Indices: A Case of the Fragile Five Countries," Istanbul Business Research, Istanbul University Business School, vol. 50(2), pages 275-301, November.

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    More about this item

    Keywords

    CDS; stock market; cointegration; price discovery;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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