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,...

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Other Authors: Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
Format: Conference or Workshop Item
Language:English
Published: Trường Đại học Kinh tế 2020
Subjects:
Credit Risk
Credit Default Swap
High-Frequency Data
Realized Volatility
Granger Causality
Volatility Spillover Effects
Online Access:http://repository.vnu.edu.vn/handle/VNU_123/97699
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Institution: Vietnam National University, Hanoi
Language: English
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spelling oai:112.137.131.14:VNU_123-976992020-11-17T04:04:11Z The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015 Credit Risk Credit Default Swap High-Frequency Data Realized Volatility Granger Causality Volatility Spillover Effects 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. 2020-11-17T03:41:20Z 2020-11-17T03:41:20Z 2015 Conference Paper (2015).The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities. Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015 http://repository.vnu.edu.vn/handle/VNU_123/97699 en_US 29 p. application/pdf Trường Đại học Kinh tế
institution Vietnam National University, Hanoi
building VNU Library & Information Center
continent Asia
country Vietnam
Vietnam
content_provider VNU Library and Information Center
collection VNU Digital Repository
language English
topic Credit Risk
Credit Default Swap
High-Frequency Data
Realized Volatility
Granger Causality
Volatility Spillover Effects
spellingShingle Credit Risk
Credit Default Swap
High-Frequency Data
Realized Volatility
Granger Causality
Volatility Spillover Effects
The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities
description 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.
author2 Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
author_facet Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
format Conference or Workshop Item
title The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities
title_short The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities
title_full The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities
title_fullStr The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities
title_full_unstemmed The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities
title_sort co-movement of credit default swap spreads, stock market returns and volatilities
publisher Trường Đại học Kinh tế
publishDate 2020
url http://repository.vnu.edu.vn/handle/VNU_123/97699
_version_ 1684667334179946496

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