Intra-Industry Credit Contagion: Evidence from the Credit Default Swap and Stock Markets

2006 ◽  
Author(s):  
Gaiyan Zhang ◽  
Philippe Jorion
Keyword(s):  
Stock Markets ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Credit Contagion

scholarly journals Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

Entropy ◽  
2020 ◽  
Vol 22 (3) ◽  
pp. 338 ◽  
Author(s):  
Sorin Gabriel Anton ◽  
Anca Elena Afloarei Nucu
Keyword(s):  
Emerging Economies ◽  
Stock Markets ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Credit Default Swap ◽  
Transfer Entropy ◽  
Sovereign Debt Crisis ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap

The purpose of the paper is to investigate the relationship between sovereign Credit Default Swap (CDS) and stock markets in nine emerging economies from Central and Eastern Europe (CEE), using daily data over the period January 2008–April 2018. The analysis deploys a Vector Autoregressive model, focusing on the direction of Granger causality between the credit and stock markets. We find evidence of the presence of bidirectional feedback between sovereign CDS and stock markets in CEE countries. The results highlight a transfer entropy of risk from the private to public sector over the whole period and respectively, from the public to private transfer entropy of risk during the European sovereign debt crisis only in Romania and Slovenia. Another finding that deserves particular attention is that the linkage between the CDS spreads and stock markets is time-varying and subject to regime shifts, depending on global financial conditions, such as the sovereign debt crisis. By providing insights on the inter-temporal causality of the comovements of the CDS–stock markets, the paper has significant practical implications for risk management practices and regulatory policies, under different market conditions of European emerging economies.

scholarly journals The effect on intra-industry rivals when firms emerge from and refile for chapter 11 bankruptcies

2010 ◽  
Vol 8 (1) ◽  
pp. 402-414
Author(s):  
Jow-Ran Chang ◽  
Chii-Shyan Kuo ◽  
Yu-Chun Tseng
Keyword(s):  
Credit Default Swap ◽  
Contagion Effect ◽  
Financial Difficulty ◽  
Contagion Effects ◽  
Credit Default ◽  
Default Swap ◽  
Credit Contagion ◽  
Industry Peers

We examine the intra-industry credit contagion effect when firms emerge from and refile for Chapter11 bankruptcies. We use the industry competitors‟ daily credit default swap (CDS) spreads to measure the contagion effects. We find that the firm‟s emergence from bankruptcy protection favorably affects the creditworthiness of market leaders. One possible interpretation of the result is that industry leaders could be less susceptible to the competitive challenges induced by the reinvigorated firms from bankruptcies. In addition, the markets may interpret such events positively since healthy competitors can boost and benefit the prospects of industry. Further, we find that Chapter 11 bankruptcy refilings also generate a favorable contagion effect. Apparently, the refiling firm‟s industry peers may benefit from the financial difficulty of the refiling firms.

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
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