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This dissertation consists of three essays on sovereign credit default swaps (CDSs). The first essay studies the relationship between the China sovereign and bank CDS spreads and the determinants of the China sovereign CDS spread changes using the copula model and regression analysis. Our...
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Using an event study approach, we find significant valuation effects in a sample of Chinese listed firms following the outbreak of Russia-Ukraine conflict. Regression analysis further reveals that the involvement of global supply chain plays an important role in the shock transmission....
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