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The comovement of credit default swap, bond and stock markets : an empirical analysis
Norden, Lars
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Weber, Martin
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URL:
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https://madoc.bib.uni-mannheim.de/1879
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Additional URL:
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http://ssrn.com/abstract=635981
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URN:
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urn:nbn:de:bsz:180-madoc-18798
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Document Type:
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Working paper
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Year of publication:
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2004
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The title of a journal, publication series:
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Publications / Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzwirtschaft, insbesondere Bankbetriebslehre, Universität Mannheim
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Volume:
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116
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Place of publication:
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Mannheim
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Publication language:
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English
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Institution:
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Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
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MADOC publication series:
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Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre (Weber) > Publications
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Subject:
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330 Economics
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Classification:
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JEL:
G14 G10 C32 ,
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Subject headings (SWD):
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Swap , Derivat <Wertpapier> , Kreditrisiko , Industrieobligation , Aktienmarkt
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Individual keywords (German):
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Swap , Finanzderivat , Credit Default Swap , Kreditrisiko , Industrieobligation , Aktienmarkt
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Keywords (English):
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credit derivatives , credit risk , credit spreads , lead-lag relationship
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Abstract:
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This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period 2000-02. Focusing on the intertemporal comovement, we examine 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 significantly more sensitive to the stock market than the bond market and the magnitude of this sensitivity increases when credit quality becomes worse. Finally, the CDS market plays a more important role for price discovery than the corporate bond market.
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Additional information:
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auch als CEPR Discussion Paper No. 4674
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 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
 | Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt. |
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