EN
Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period
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 GARCH 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 (EMH). 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.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
September 1, 2017
Submission Date
September 1, 2017
Acceptance Date
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Published in Issue
Year 2017 Volume: 7 Number: 3
APA
Paskaleva, M. G., & Stoitsova-stoykova, A. (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, 7(3), 172-179. https://izlik.org/JA28ZX39FM
AMA
1.Paskaleva MG, Stoitsova-stoykova A. Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period. IJEFI. 2017;7(3):172-179. https://izlik.org/JA28ZX39FM
Chicago
Paskaleva, Mariya Georgieva, and 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 7 (3): 172-79. https://izlik.org/JA28ZX39FM.
EndNote
Paskaleva MG, Stoitsova-stoykova A (September 1, 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 7 3 172–179.
IEEE
[1]M. G. Paskaleva and A. Stoitsova-stoykova, “Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period”, IJEFI, vol. 7, no. 3, pp. 172–179, Sept. 2017, [Online]. Available: https://izlik.org/JA28ZX39FM
ISNAD
Paskaleva, Mariya Georgieva - Stoitsova-stoykova, Ani. “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 7/3 (September 1, 2017): 172-179. https://izlik.org/JA28ZX39FM.
JAMA
1.Paskaleva MG, Stoitsova-stoykova A. Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period. IJEFI. 2017;7:172–179.
MLA
Paskaleva, Mariya Georgieva, and Ani Stoitsova-stoykova. “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, vol. 7, no. 3, Sept. 2017, pp. 172-9, https://izlik.org/JA28ZX39FM.
Vancouver
1.Mariya Georgieva Paskaleva, Ani Stoitsova-stoykova. Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period. IJEFI [Internet]. 2017 Sep. 1;7(3):172-9. Available from: https://izlik.org/JA28ZX39FM