An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market

Laura Ballester (), Rebeca Fernández and Ana González-Urteaga ()
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Laura Ballester: University of Valencia
Rebeca Fernández: MUSAAT
Ana González-Urteaga: INARBE (Institute for Advanced Research in Business and Economics)

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 93-96 from Springer

Abstract: Abstract This paper complements the recent literature providing a thorough research of the lead lag relationship between stock and sovereign CDS markets using a rolling VAR framework. We find that the transmission channel between the credit and stock market exist. This phenomenon is time varying, it seems to be related with the economic cycle and in general, it’s more intense in US than in Europe.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_16

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DOI: 10.1007/978-3-319-89824-7_16

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