Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets
Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets
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DOI：
10.1017/s0022109015000228
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发表时间：
2015-06-01
影响因子：
3.9
通讯作者：
Wilson, Mungo
中科院分区：
文献类型：
--
作者：
Hilscher, Jens;Pollet, Joshua M.;Wilson, Mungo
本文提供了股票收益在每日和每周频率上领先于信用保护收益的证据，而信用保护收益并不领先于股票收益。我们的结果表明，知情交易者主要活跃在股票市场，而不是信用违约互换(CDS)市场。这些发现与知情交易者选择市场的标准理论是一致的，在该理论中，市场选择部分取决于交易成本。我们还发现，与股票回报和成交额相似的日子相比，信用保护回报在重大新闻事件(收益公告)期间的反应更快。这一证据支持了与投资者注意力不集中有关的解释。
This article provides evidence that equity returns lead credit protection returns at daily and weekly frequencies, whereas credit protection returns do not lead equity returns. Our results indicate that informed traders are primarily active in the equity market rather than the credit default swap (CDS) market. These findings are consistent with standard theories of market selection by informed traders in which market selection is determined partially by transaction costs. We also find that credit protection returns respond more quickly during salient news events (earnings announcements) compared to days with similar equity returns and turnover. This evidence provides support for explanations related to investor inattention.