Credit Default Swaps – characteristics and interrelations with European capital markets

Economic Processes Management: International Scientific E-Journal. 2017. № 1
Section: International aspects of economic processes management

Cite this article:
Paskaleva M. G. (2017). Credit Default Swaps – characteristics and interrelations with European capital markets, Economic Processes Management: International Scientific E-Journal, 1, Retrieved from:

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Paskaleva Mariya Georgieva
PhD Student in Finance and Accounting Department,
International Business School – Botevgrad, Bulgaria

The recent financial crisis in Europe has an interesting development. It appeared as a bank phenomenon in the private sector, spilled in the public and turned into European debt crisis. Although, credit default swaps represent a fraction of derivatives markets, their significance and liquidity has increased significantly especially for developed countries. The main purpose of this article is to establish whether the degree of information efficiency, related to the interrelation between CDS market and developed capital markets is more significant than in the countries with undeveloped capital market. The major research methods used in this work are correlation analysis and Granger Causality Test.

financial crisis, credit default swaps, developed capital markets, undeveloped capital markets, emerging markets, Granger Causality Test, correlation

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