The Co-movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
The Co-movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
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DOI：
10.1111/j.1468-036x.2007.00427.x
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发表时间：
2009-06-01
影响因子：
2.2
通讯作者：
Weber, Martin
中科院分区：
文献类型：
--
作者：
Norden, Lars;Weber, Martin
我们分析了 2000 年至 2002 年期间信用违约掉期 (CDS)、债券和股票市场之间的关系。着眼于跨期联动，我们研究了向量自回归模型中的月度、周度和日度超前滞后关系以及协整引起的市场之间的调整。首先，我们发现股票回报率导致 CDS 和债券利差变化。其次，CDS利差变化格兰杰导致更多公司的债券利差变化，反之亦然。第三，CDS市场对股票市场的敏感度高于债券市场，信用质量越低、债券发行规模越大，联动强度越大。最后，CDS 市场比债券市场对价格发现的贡献更大，这种效应对美国公司的影响比欧洲公司更强。
We analyse the relationship between credit default swap (CDS), bond and stock markets during 2000-2002. Focusing on the intertemporal co-movement, we examine monthly, 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 more sensitive to the stock market than the bond market and the strength of the co-movement increases the lower the credit quality and the larger the bond issues. Finally, the CDS market contributes more to price discovery than the bond market and this effect is stronger for US than for European firms.