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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?

Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167

This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...

Persistent link: https://www.econbiz.de/10010373349

Volatility relation between credit default swap and stock market : new empirical tests

Mateev, Miroslav - In: Journal of economics and finance 43 (2019) 4, pp. 681-712

Persistent link: https://www.econbiz.de/10012385165

Time-varying credit risk discovery in the stock and CDS markets : evidence from quiet and crisis times

Forte, Santiago; Lovreta, Lidija - In: European financial management : the journal of the … 21 (2015) 3, pp. 430-461

Persistent link: https://www.econbiz.de/10011317998

Industry-level determinants of the linkage between credit and stock markets

Shahzad, Syed Jawad Hussain; Ferrer, Román; Hammoudeh, … - In: Applied economics 50 (2018) 49, pp. 5277-5301

Persistent link: https://www.econbiz.de/10012062147

Can CDS indexes signal future turmoils in the stock market? : a Markov switching perspective

Castellano, Rosella; Scaccia, Luisa - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10010356926

CDS and equity markets' volatility linkages : lessons from the EMU crisis

Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281

Persistent link: https://www.econbiz.de/10014291804

Price discovery in CDS and equity markets : default risk-based heterogeneity in the systematic investment grade and high yield sectors

Procasky, William J. - In: Journal of financial markets 54 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013273142

Price discovery in the markets for credit risk : a Markov switching approach

Dimpfl, Thomas; Peter, Franziska Julia - 2015

information shares. Overall the results indicate that price discovery measures and their determinants change during tranquil and …

Persistent link: https://www.econbiz.de/10011296774

Kreditderivate : zwischen Kapitalmarkt und bankbetrieblicher Verwendung

Norden, Lars - 2004

Persistent link: https://www.econbiz.de/10002221342

Markets contagion during financial crisis : a regime-switching approach

Guo, Feng; Chen, Carl R.; Huang, Ying - In: International review of economics & finance : IREF 20 (2011) 1, pp. 95-109

Persistent link: https://www.econbiz.de/10009304198