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Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market

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Cited by:

  1. Dimpfl Thomas & Peter Franziska Julia, 2013. "Using transfer entropy to measure information flows between financial markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 85-102, February.
  2. Schreiber, Irene & Müller, Gernot & Klüppelberg, Claudia & Wagner, Niklas, 2012. "Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 57-65.
  3. Giacomo Bulfone & Roberto Casarin & Francesco Ravazzolo, 2021. "Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model," Working Paper series 21-09, Rimini Centre for Economic Analysis.
  4. William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Futures and Credit Default Swaps," Post-Print hal-01410748, HAL.
  5. Wang, Ping & Moore, Tomoe, 2012. "The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 1-15.
  6. Laura Ballester & Ana Mónica Escrivá & Ana González-Urteaga, 2021. "The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence," Mathematics, MDPI, vol. 9(11), pages 1-23, May.
  7. Colin Turfus & Alexander Shubert, 2017. "ANALYTIC PRICING OF CoCo BONDS," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-26, August.
  8. Nielsen, Caren Yinxia, 2011. "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers 2011:38, Lund University, Department of Economics, revised 01 Oct 2016.
  9. Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone, 2014. "Sovereign Risk and the Pricing of Corporate Credit Default Swaps," Working Papers on Finance 1423, University of St. Gallen, School of Finance, revised Feb 2015.
  10. Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan, March.
  11. Murat EREN, & Selim BAÅžAR, 2016. "Effects Of Credit Default Swaps (Cds) On Bist-100 Index," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(Special I), pages 1-27, august.
  12. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2017. "Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 46-61.
  13. Breitenfellner, Bastian & Wagner, Niklas, 2012. "Explaining aggregate credit default swap spreads," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 18-29.
  14. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
  15. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
  16. Byström, Hans, 2013. "Stock Prices and Stock Return Volatilities Implied by the Credit Market," Working Papers 2013:25, Lund University, Department of Economics, revised 14 Feb 2014.
  17. Virginie Coudert & Mathieu Gex, 2008. "Contagion in the Credit Default Swap Market: the case of the GM and Ford Crisis in 2005," Working Papers 2008-14, CEPII research center.
  18. Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015. "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 447-458.
  19. Abbassi, Puriya & Linzert, Tobias, 2012. "The effectiveness of monetary policy in steering money market rates during the financial crisis," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 945-954.
  20. Virginie Coudert & Mathieu Gex, 2010. "Disrupted links between credit default swaps, bonds and equities during the GM and Ford crisis in 2005," Applied Financial Economics, Taylor & Francis Journals, vol. 20(23), pages 1769-1792.
  21. William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 13, pages 445-473, SUERF - The European Money and Finance Forum.
  22. Baltodano López Ovielt & Bulfone Giacomo & Casarin Roberto & Ravazzolo Francesco, 2024. "Modeling Corporate CDS Spreads Using Markov Switching Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 271-292, April.
  23. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, University of Reading.
  24. Bernardo León & Andrés Mora, 2011. "CDS: relación con índices accionarios y medida de riesgo," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(64), pages 178-211, July.
  25. Benbouzid, Nadia & Mallick, Sushanta & Pilbeam, Keith, 2018. "The housing market and the credit default swap premium in the UK banking sector: A VAR approach," Research in International Business and Finance, Elsevier, vol. 44(C), pages 1-15.
  26. Niţoi, Mihai & Pochea, Maria Miruna, 2016. "Testing financial markets convergence in Central and Eastern Europe: A non-linear single factor model," Economic Systems, Elsevier, vol. 40(2), pages 323-334.
  27. Roshanthi Dias, 2017. "The role of managerial risk-taking in the ‘rise and fall’ of the CDS market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 117-145, April.
  28. Giovanni Calice & Christos Ioannidis & Julian Williams, 2011. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," CESifo Working Paper Series 3583, CESifo.
  29. Veronika Kajurova & Jana Hvozdenska, 2016. "Linkages between CDS, bond and stock markets: Evidence from Europe," MENDELU Working Papers in Business and Economics 2016-63, Mendel University in Brno, Faculty of Business and Economics.
  30. Trutwein, Patrick & Schiereck, Dirk, 2011. "The fast and the furious--Stock returns and CDS of financial institutions under stress," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 157-175, April.
  31. Laura Ballester & Ana González-Urteaga, 2020. "Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities," Mathematics, MDPI, vol. 8(10), pages 1-34, September.
  32. Hasan Murat Ertugrul & Huseyin Ozturk, 2013. "The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S5), pages 228-249, November.
  33. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
  34. Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series 11-04, Luxembourg School of Finance, University of Luxembourg.
  35. Marc Peters & Hugues Pirotte, 2014. "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB 14-018, ULB -- Universite Libre de Bruxelles.
  36. Nephil Matangi Maskay, 2010. "Macro-Financial Links and Monetary Policy Management," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp78.
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