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

• 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
• Institution: Vietnam National University, Hanoi

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,...