Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices

Stefan Ehlers, Marc Gürtler and Sven Olboeter

No IF34V1, Working Papers from Technische Universität Braunschweig, Institute of Finance

Abstract: This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the background of our study this lead-lag-relationship strengthens when moving from the non-crisis- to the crisisscenario on a daily as well as on a weekly basis. Hence, we conclude that information transfer from stock to CDS markets widens during the financial crisis. In addition and in contrast to the literature we find an extraordinary day-of-the-week-effect on weekly returns as an anomaly for information processing.

Keywords: Granger-causality; iTraxx Indices; Credit Default Swaps; Day-of-the-Week-Effect; Feedback System (search for similar items in EconPapers)
JEL-codes: G14 G15 G17 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/55227/1/68498623X.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:tbsifw:if34v1

DOI: 10.2139/ssrn.1585132

Access Statistics for this paper

More papers in Working Papers from Technische Universität Braunschweig, Institute of Finance Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().