Dynamic relations between CDS and stock markets in Eastern European countries

Mircea Asandului (), Dan Lupu (), Gabriel Claudiu Mursa and Radu Muşetescu

MPRA Paper from University Library of Munich, Germany

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.

Keywords: CDS; stock market; cointegration; price discovery (search for similar items in EconPapers)
JEL-codes: G10 G15 G17 (search for similar items in EconPapers)
Date: 2015-12-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Economic Computation and Economic Cybernetics Studies and Research 4 (2015): pp. 151-170

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95506

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