Pub Date : 2018-12-31DOI: 10.2478/9783110648324-005
{"title":"CHAPTER ONE: Integration of Southeast European Capital Markets","authors":"","doi":"10.2478/9783110648324-005","DOIUrl":"https://doi.org/10.2478/9783110648324-005","url":null,"abstract":"","PeriodicalId":197569,"journal":{"name":"SOUTHEAST EUROPEAN CAPITAL MARKETS: DYNAMICS, RELATIONSHIP AND SOVEREIGN CREDIT RISK","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126080232","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-12-31DOI: 10.2478/9783110648324-004
{"title":"Appendixes","authors":"","doi":"10.2478/9783110648324-004","DOIUrl":"https://doi.org/10.2478/9783110648324-004","url":null,"abstract":"","PeriodicalId":197569,"journal":{"name":"SOUTHEAST EUROPEAN CAPITAL MARKETS: DYNAMICS, RELATIONSHIP AND SOVEREIGN CREDIT RISK","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125316884","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-12-31DOI: 10.2478/9783110648324-fm
{"title":"Frontmatter","authors":"","doi":"10.2478/9783110648324-fm","DOIUrl":"https://doi.org/10.2478/9783110648324-fm","url":null,"abstract":"","PeriodicalId":197569,"journal":{"name":"SOUTHEAST EUROPEAN CAPITAL MARKETS: DYNAMICS, RELATIONSHIP AND SOVEREIGN CREDIT RISK","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116450277","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-12-31DOI: 10.2478/9783110648324-007
Ani Stoykova, M. Paskaleva
{"title":"CHAPTER THREE: Sovereign CDS Spread determinants and their impact on the competitiveness of the Bulgarian economy","authors":"Ani Stoykova, M. Paskaleva","doi":"10.2478/9783110648324-007","DOIUrl":"https://doi.org/10.2478/9783110648324-007","url":null,"abstract":"","PeriodicalId":197569,"journal":{"name":"SOUTHEAST EUROPEAN CAPITAL MARKETS: DYNAMICS, RELATIONSHIP AND SOVEREIGN CREDIT RISK","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122993437","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-12-31DOI: 10.2478/9783110648324-002
{"title":"Conclusion","authors":"","doi":"10.2478/9783110648324-002","DOIUrl":"https://doi.org/10.2478/9783110648324-002","url":null,"abstract":"","PeriodicalId":197569,"journal":{"name":"SOUTHEAST EUROPEAN CAPITAL MARKETS: DYNAMICS, RELATIONSHIP AND SOVEREIGN CREDIT RISK","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114187784","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-12-31DOI: 10.2478/9783110648324-006
Ani Stoykova, M. Paskaleva, D. Stoykov
This paper examines the impact of sentiment indicators on the financial market dynamics and default probability. First, we use GARCH models and Granger Causality Test in order to test the relationship between sentiment indicators and capital market dynamics of eleven Southeastern European countries. Second, we employ GARCH models and Granger Causality Test to examine the influence of sentiment indicators on the sovereign credit risk in Bulgaria. The analyzed period is from January 2005 to November 2015. The results reveal that the consumer sentiment information and inflation expectations have influence on the financial market dynamics of SEE stock indices. Test results present that sentiment variables may explain CDS spread changes efficiently. We observe bilateral relations, which may be accepted as proves that turmoil periods may be led by panic and fear of investors without any enormous change in other factors.
{"title":"CHAPTER TWO: Impact of sentiment indicators on the capital market dynamics and default probability","authors":"Ani Stoykova, M. Paskaleva, D. Stoykov","doi":"10.2478/9783110648324-006","DOIUrl":"https://doi.org/10.2478/9783110648324-006","url":null,"abstract":"This paper examines the impact of sentiment indicators on the financial market dynamics and default probability. First, we use GARCH models and Granger Causality Test in order to test the relationship between sentiment indicators and capital market dynamics of eleven Southeastern European countries. Second, we employ GARCH models and Granger Causality Test to examine the influence of sentiment indicators on the sovereign credit risk in Bulgaria. The analyzed period is from January 2005 to November 2015. The results reveal that the consumer sentiment information and inflation expectations have influence on the financial market dynamics of SEE stock indices. Test results present that sentiment variables may explain CDS spread changes efficiently. We observe bilateral relations, which may be accepted as proves that turmoil periods may be led by panic and fear of investors without any enormous change in other factors.","PeriodicalId":197569,"journal":{"name":"SOUTHEAST EUROPEAN CAPITAL MARKETS: DYNAMICS, RELATIONSHIP AND SOVEREIGN CREDIT RISK","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133460195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1900-01-01DOI: 10.2478/9783110648324-008
M. Paskaleva, I. Mihaylov
We examine the linkages between accounting information and credit default swap spread in Bulgaria. This paper employs a panel data approach including OLS model and VAR model. We use sovereign credit default swap spread data for the period reaching from the first quarter of 2009 to the fourth quarter of 2016. We apply 3 month Euribor rate as an indicator for riskfree rate. The final sample consists of twenty separate corporate entities from various industries in Bulgaria. The results reveal that accounting information is a relevant source of information to the credit markets. So we may conclude that accounting information is proved to provide incremental influence to the probability of default in Bulgaria. Moreover, CDS spreads has a significant relationship with other accounting and market variables. Key-Words: accounting information, sovereign CDS, panel data, capital markets
{"title":"CHAPTER FOUR: Relationship between Bulgarian sovereign credit risk and accounting information","authors":"M. Paskaleva, I. Mihaylov","doi":"10.2478/9783110648324-008","DOIUrl":"https://doi.org/10.2478/9783110648324-008","url":null,"abstract":"We examine the linkages between accounting information and credit default swap spread in Bulgaria. This paper employs a panel data approach including OLS model and VAR model. We use sovereign credit default swap spread data for the period reaching from the first quarter of 2009 to the fourth quarter of 2016. We apply 3 month Euribor rate as an indicator for riskfree rate. The final sample consists of twenty separate corporate entities from various industries in Bulgaria. The results reveal that accounting information is a relevant source of information to the credit markets. So we may conclude that accounting information is proved to provide incremental influence to the probability of default in Bulgaria. Moreover, CDS spreads has a significant relationship with other accounting and market variables. Key-Words: accounting information, sovereign CDS, panel data, capital markets","PeriodicalId":197569,"journal":{"name":"SOUTHEAST EUROPEAN CAPITAL MARKETS: DYNAMICS, RELATIONSHIP AND SOVEREIGN CREDIT RISK","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124569204","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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