scholarly journals Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching

2017 ◽  
Vol 33 (3) ◽  
pp. 662-678 ◽  
Author(s):  
Fei Fei ◽  
Ana-Maria Fuertes ◽  
Elena Kalotychou
Keyword(s):  
Markov Switching ◽  
Credit Default Swap ◽  
Equity Markets ◽  
Dynamic Copula ◽  
Credit Default ◽  
Default Swap

scholarly journals Related Securities and Equity Market Quality: The Case of CDS

2015 ◽  
Vol 50 (3) ◽  
pp. 509-541 ◽  
Author(s):  
Ekkehart Boehmer ◽  
Sudheer Chava ◽  
Heather E. Tookes
Keyword(s):  
Credit Default Swap ◽  
Equity Markets ◽  
Quality Measures ◽  
Equity Market ◽  
Market Quality ◽  
Equity Prices ◽  
Information Spillovers ◽  
Positive Effects ◽  
Credit Default ◽  
Default Swap

AbstractWe document that equity markets become less liquid and equity prices become less efficient when markets for single-name credit default swap (CDS) contracts emerge. This finding is robust across a variety of market quality measures. We analyze the potential mechanisms driving this result and find evidence consistent with negative trader-driven information spillovers that result from the introduction of CDS. These spillovers greatly outweigh the potentially positive effects associated with completing markets (e.g., CDS markets increase hedging opportunities) when firms and their equity markets are in “bad” states. In “good” states, we find some evidence that CDS markets can be beneficial.

Le marché des Credit Default Swap (CDS)

2009 ◽  
Vol 189 (3) ◽  
pp. 133-140
Author(s):  
Antoine Bouveret
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

The signalling properties of the shape of the credit default swap term structure

2015 ◽  
Vol 17 (4) ◽  
pp. 71-99 ◽  
Author(s):  
Jenny Castellanos ◽  
Nick Constantinou ◽  
Wing Lon Ng
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap
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