Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195403 
Year of Publication: 
2018
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 25 [Publisher:] Universidad Pablo de Olavide [Place:] Sevilla [Year:] 2018 [Pages:] 130-155
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract: 
In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most relevant economies within the Eurozone, so that, they serve as advanced indicators like mechanisms of price transmission. For this purpose, we apply the Granger Causality test to analyze ten main European stock markets from 2004 to 2016 by using daily data. Our hypothesis is proved to work for the largest economies with liquid CDS markets, whereas the transmission mechanism between CDS and stock prices is not so evident for the smallest ones.
Subjects: 
CDS premia
stock market index return
Granger causality test
Eurozone
primas CDS
rendimiento de índices de mercado
test de causalidad de Granger
eurozona
JEL: 
G12
G15
C22
C30
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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