Linkages and efficiency between derivative and European capital market

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The study investigates the efficiency of South East Europe's (SEE) equity markets and their relationship with iTraxx Europe, focusing on stock market performance differences between developed and emerging markets. Utilizing GARCH modeling, Granger causality tests, and correlation analysis, it analyzes daily returns from five SEE stock indices post-2008 financial crisis. Findings indicate that most SEE markets, excluding Bulgaria and Slovenia, do not align with the efficient market hypothesis, while iTraxx Europe significantly influences these stock indices' dynamics.