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| Author: | Norden, L. Weber, M. |
| Title: | The co-movement of credit default swap, bond and stock markets: an empirical analysis |
| Journal: | European Financial Management
2009 : JUN, VOL. 15:3, p. 529-562 |
| Index terms: | credit management credit markets derivative securities stock markets |
| Language: | eng |
| Abstract: | The relationship between credit default swap (CDS), bond and stock markets during 2000-2002 is analysed in this paper. The focus is on the intertemporal co-movement, monthly, weekly and daily lead-lag relationships are studied in a vector autoregressive model and also the adjustment between markets caused by cointegration. |
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