• Anglický jazyk

Linkages and efficiency between derivative and European capital market

Autor: Mariya Paskaleva

It is examined 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... Viac o knihe

Na objednávku

26.82 €

bežná cena: 29.80 €

O knihe

It is examined 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, Granger causality test and correlation analysis.We use the returns of iTraxx Europe and the daily returnsof 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.

  • Vydavateľstvo: LAP LAMBERT Academic Publishing
  • Rok vydania: 2017
  • Formát: Paperback
  • Rozmer: 220 x 150 mm
  • Jazyk: Anglický jazyk
  • ISBN: 9786202078580

Generuje redakčný systém BUXUS CMS spoločnosti ui42.