The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities

• مؤلفون آخرون: Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
• التنسيق: Conference or Workshop Item
• اللغة: English
• منشور في: Trường Đại học Kinh tế 2020
• الموضوعات: Credit Risk; Credit Default Swap; High-Frequency Data; Realized Volatility; Granger Causality; Volatility Spillover Effects
• الوصول للمادة أونلاين: http://repository.vnu.edu.vn/handle/VNU_123/97699

We study the co-movement of credit and equity markets in four Asia-Pacific countries at firm and index level. First, we establish realized volatility as an important determinant of credit default swap (CDS) spread levels and changes. Second, we examine lead-lag relationships between CDS spreads, volatility, and stock returns using a vector-autoregressive model. At the firm level stock returns lead the other variables. However, at the index level volatility and CDS spreads are equally important. Third, we analyze volatility spillovers using the measures proposed by Diebold and Yilmaz (2014). The results suggest that realized volatility is the main contributor to cross-market volatility spillovers.