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

• 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

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,...