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

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

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,...

全面介紹

Saved in:
書目詳細資料
其他作者: Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
格式: Conference or Workshop Item
語言:English
出版: Trường Đại học Kinh tế 2020
主題:
Credit Risk
Credit Default Swap
High-Frequency Data
Realized Volatility
Granger Causality
Volatility Spillover Effects
在線閱讀:http://repository.vnu.edu.vn/handle/VNU_123/97699
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!
機構: Vietnam National University, Hanoi
語言: English
實物特徵
總結: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.

相似書籍