Munich Personal RePEc Archive (Munich University) · 2015 · 10 citations · 14 references
Open access
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisCointegration AnalysisFinancial CrisesFinancial Time Series AnalysisStock MarketsTime Series EconometricsVolatility ModelingCointegration In Financial MarketsCointegration In Stock PricesFinancial Time Series ForecastingPrice Discovery AnalysisPrice Discovery EffectsPrice Discovery ModelsStructural BreaksStructural Breaks In Cointegration
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.
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