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

Year 2017, Volume: 7 Issue: 3, 172 - 179, 01.09.2017

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.

Year 2017, Volume: 7 Issue: 3, 172 - 179, 01.09.2017

Abstract

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Details

Other ID JA58YS63DJ
Journal Section Research Article
Authors

Mariya Georgieva Paskaleva This is me

Ani Stoitsova-stoykova This is me

Publication Date September 1, 2017
Published in Issue Year 2017 Volume: 7 Issue: 3

Cite

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.
AMA 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. September 2017;7(3):172-179.
Chicago 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 7, no. 3 (September 2017): 172-79.
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 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, 2017.
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 2017), 172-179.
JAMA 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, 2017, pp. 172-9.
Vancouver 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):172-9.