Dynamic Relations Between CDS and Stock Markets in Eastern European Countries

Asandului, Mircea; Lupu, Dan; Mursa, Gabriel; Musetescu, Radu

Dynamic Relations Between CDS and Stock Markets in Eastern European Countries

Asandului, M., Lupu, D., Claudiu, G., & Musetescu, R. (2015). DYNAMIC RELATIONS BETWEEN CDS AND STOCK MARKETS IN EASTERN EUROPEAN COUNTRIES. Economic Computation & Economic Cybernetics Studies & Research, 49(4).

20 Pages Posted: 14 Aug 2019

See all articles by Mircea Asandului

Mircea Asandului

Alexandru Ioan Cuza University - Faculty of Economics and Business Administration

Dan Lupu

Alexandru Ioan Cuza University

Gabriel Mursa

Alexandru Ioan Cuza University

Radu Musetescu

Bucharest Academy of Economic Studies

Date Written: december 30, 2015

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

JEL Classification: G01, G12, G14, G15

Suggested Citation: Suggested Citation

Asandului, Mircea and Lupu, Dan and Mursa, Gabriel and Musetescu, Radu Cristian, Dynamic Relations Between CDS and Stock Markets in Eastern European Countries (december 30, 2015). Asandului, M., Lupu, D., Claudiu, G., & Musetescu, R. (2015). DYNAMIC RELATIONS BETWEEN CDS AND STOCK MARKETS IN EASTERN EUROPEAN COUNTRIES. Economic Computation & Economic Cybernetics Studies & Research, 49(4)., Available at SSRN: https://ssrn.com/abstract=3435839