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| Tekijä: | Jorion, P. Zhang, G. |
| Otsikko: | Good and bad credit contagion: Evidence from credit default swaps |
| Lehti: | Journal of Financial Economics
2007 : JUN, VOL. 84:3, p. 860-883 |
| Asiasana: | stock markets credit markets swaps bankruptcy event studies |
| Vapaa asiasana: | contagion |
| Kieli: | eng |
| Tiivistelmä: | This study investigates the intra-industry information transfer effect of credit events, as captured in the credit default swaps (CDS) and stock markets. Strong evidence of contagion effects is found for Chapter 11 bankruptcies (here as: brcts.) and competition effects for Chapter 7 brcts. Also, introduced is a purely unanticipated event, in the form of a large jump in a company's CDS spread. This is found to lead to the strongest evidence of credit contagion across the industry. |
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