The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
Abstract
We analyse the relationship between credit default swap (CDS), bond and stock markets during 2000–2002. Focusing on the intertemporal co‐movement, we examine monthly, weekly and daily lead‐lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa. Third, the CDS market is more sensitive to the stock market than the bond market and the strength of the co‐movement increases the lower the credit quality and the larger the bond issues. Finally, the CDS market contributes more to price discovery than the bond market and this effect is stronger for US than for European firms.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
The Determinants of Credit Spread Changes
Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00402 · Cited by 2,246
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
LONGSTAFF, F. A., MITHAL, S., & NEIS, E. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00797.x · Cited by 2,087
Estimation of Common Long-Memory Components in Cointegrated Systems
Gonzalo, J., & Granger, C. (1995) · Journal of Business & Economic Statistics · doi:10.1080/07350015.1995.10524576 · Cited by 1,307
BLANCO, R., BRENNAN, S., & MARSH, I. W. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00798.x · Cited by 1,144
Maris, B. A. (2006) · CFA Digest · doi:10.2469/dig.v36.n1.1812 · Cited by 629
An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market
Zhu, H. (2006) · Journal of Financial Services Research · doi:10.1007/s10693-006-7626-x · Cited by 540
Measuring Default Risk Premia from Default Swap Rates and EDFs
Berndt, A., Douglas, R., Duffie, D., Ferguson, M., & Schranz, D. (2004) · SSRN Electronic Journal · doi:10.2139/ssrn.556080 · Cited by 415
Metadata
- Authors
- Norden, L., & Weber, M.
- Venue
- European Financial Management
- Publisher
- Wiley
- Published
- 2009-05-26
- Volume
- 15
- Issue
- 3
- Pages
- 529-562
- ISSN
- 1354-7798 (ISSN-L)
- 1468-036X
- OpenAlex
- W2127169188
- Cited by
- 526
- References
- 18
- FWCI
- 68.91
- Type
- journal article
- Language
- en
- Open access
- closed
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