Time-Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times

Santiago Forte, Lidija Lovreta

Producció científica: Article en revista indexadaArticleAvaluat per experts

19 Cites (Scopus)

Resum

We analyse the dynamic relationship between the stock and the CDS market during the period 2002-2008. We document that the stock market's informational dominance reported in previous studies holds only in times of financial crisis. During tranquil times, the CDS market's contribution to price discovery is equal or higher than that of the stock market. Moreover, the credit risk level of the company has a positive effect on the information share of its stocks beyond the effect of the overall state of the economy. We show that these conclusions do not contradict the argument of insider trading in credit derivatives.

Idioma originalAnglès
Pàgines (de-a)430-461
Nombre de pàgines32
RevistaEuropean Financial Management
Volum21
Número3
DOIs
Estat de la publicacióPublicada - 1 de juny 2015

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