The dynamics of sovereign credit default swap and bond markets of Philippines, Indonesia, Malaysia and Thailand from the period 2009-2012

• Main Authors: Cu, Grachelle Mae, Gomez, Jerica Joy, Lao, Jasmine, Yap, Denise Angelica
• Format: text
• Language: English
• Published: Animo Repository 2014
• Subjects: Bond market > Philippines; Bond market > Indonesia; Bond market > Malaysia; Bond market > Thailand; Credit > Philippines; Credit > Indonesia; Credit > Malaysia; Credit > Thailand; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/6407
• Institution: De La Salle University

This paper examined the dynamics of sovereign credit default swap and bond markets of Philippines, Indonesia, Malaysia, and Thailand. In theory, both markets showed a no-arbitage relationship, but the spillover effect was also considered to be one of the dynamics for the relationship of CDS and bond...