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Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period

Author

Listed:
  • Mariya Paskaleva

    (Department of Finance and Accounting, Faculty of Economics, South-West University Neofit Rilski, Bulgaria,)

  • Ani Stoitsova-Stoykova

    (Department of Finance and Accounting, Faculty of Economics, South-West University Neofit Rilski, Bulgaria.)

Abstract

We examine the market efficiency and the linkages between financial market dynamics and iTraxx Europe of the equity markets of South East Europe (SEE). Therefore, this study aims to answer whether there exists a difference between the stock market performance of the developed and emerging SEE capital markets. This paper employs generalized autoregressive conditional heteroskedasticity model and Granger causality test. We use the returns of iTraxx Europe and the daily returns of five SEE stock market indices Bulgaria, Croatia, Slovenia, Turkey and Romania over the period after the financial crisis of 2008. The results reveal that SEE capital markets except Bulgaria and Slovenia aren't efficient in the context of the efficient market hypothesis. Moreover, the iTraxx Europe affects the financial market dynamics of SEE stock indices. The analysis shows that the Itraxx Europe Granger-cause stock market returns with less significant causal relations from stock market returns to iTraxx Europe.

Suggested Citation

  • Mariya Paskaleva & Ani Stoitsova-Stoykova, 2017. "Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 172-179.
    • Handle: RePEc:eco:journ1:2017-03-24
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    References listed on IDEAS

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    More about this item

    Keywords

    Market Efficiency; iTraxx Europe; Capital Markets.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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