This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa.

Third, the CDS market is significantly more sensitive to the stock market than the bond market and the magnitude of this sensitivity increases when credit quality becomes worse. Finally, the CDS market plays a more important role for price discovery than the corporate bond market. If you experience problems downloading a file, check if you have the proper application to view it first.

In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large. Related research [Other version s available] Keywords: Credit risk ; Credit spreads ; Credit derivatives ; Lead-lag relationship ; Other versions of this item: An Empirical Analysis ," CEPR Discussion PapersC. Find related papers by JEL classification: G10 - Financial Economics - - General Financial Markets - - - General includes Measurement and Data G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models This paper has been announced in the following NEP Reports: NEP-CFN Corporate Finance NEP-FIN Finance NEP-FMK Financial Markets References References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Default Risk or Liquidity?

New Evidence from the Credit Default Swap Market ," Journal of FinanceAmerican Finance Association, vol. New Evidence from the Credit-Default Swap How much money do professional figure skaters make ," NBER Working PapersNational Bureau of Economic Research, Inc.

Representation, estimation, and testing ," Applied EconometricsPublishing House the comovement of credit default swap bond and stock markets PRESS", vol. Representation, Estimation, and Testing ," EconometricaEconometric Society, vol. An Intraday Analysis ," Review of Financial StudiesSociety for Financial Studies, vol.

Granger, C W J, Full references including those not matched with the tunisian stock market a regime switching approach on IDEAS Citations Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. Lessons and Challenges ," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Evidence from Intraday Transactions Data ," Working PapersHong Kong Institute for Monetary Research.

Evidence from Advanced Economies during the Financial Crisis ," International FinanceWiley Blackwell, vol. Sorin Gabriel Anton, An Explanatory Study " ," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte EconomiceAlexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol.

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Norden, Lars Weber, Martin. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. Related research [Other version s available]. References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS.

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The Co-Movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis by Lars Norden, Martin Weber :: SSRN

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The Comovement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis by Martin Weber, Lars Norden :: SSRN

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