{"title":"欧洲案例:主权CDs与股指之间的关系","authors":"M. Coronado, M. T. Corzo, L. Lazcano","doi":"10.2139/ssrn.1889121","DOIUrl":null,"url":null,"abstract":"In 2010 we witnessed a major European sovereign debt crisis. By examining the links between sovereign Credit Default Swaps and stock indexes for eight European countries during the period 2007-2010, this paper studies the lead-lag relationships of the two markets which represent a country's credit and market risk. Through the use of a Vector Autoregressive model and a panel data model we find that the stock market plays a leading role during the sample period, but when 2010 is isolated a change in this relationship appears: a key role of sovereign CDS markets – the incorporation of new information emerges. This phenomenon is most significant in countries with high risk spread.","PeriodicalId":149679,"journal":{"name":"Frontiers in Finance & Economics","volume":"24 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"44","resultStr":"{\"title\":\"A Case for Europe: The Relationship between Sovereign CDs and Stock Indexes\",\"authors\":\"M. Coronado, M. T. Corzo, L. Lazcano\",\"doi\":\"10.2139/ssrn.1889121\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In 2010 we witnessed a major European sovereign debt crisis. By examining the links between sovereign Credit Default Swaps and stock indexes for eight European countries during the period 2007-2010, this paper studies the lead-lag relationships of the two markets which represent a country's credit and market risk. Through the use of a Vector Autoregressive model and a panel data model we find that the stock market plays a leading role during the sample period, but when 2010 is isolated a change in this relationship appears: a key role of sovereign CDS markets – the incorporation of new information emerges. This phenomenon is most significant in countries with high risk spread.\",\"PeriodicalId\":149679,\"journal\":{\"name\":\"Frontiers in Finance & Economics\",\"volume\":\"24 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"44\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Frontiers in Finance & Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1889121\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Frontiers in Finance & Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1889121","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Case for Europe: The Relationship between Sovereign CDs and Stock Indexes
In 2010 we witnessed a major European sovereign debt crisis. By examining the links between sovereign Credit Default Swaps and stock indexes for eight European countries during the period 2007-2010, this paper studies the lead-lag relationships of the two markets which represent a country's credit and market risk. Through the use of a Vector Autoregressive model and a panel data model we find that the stock market plays a leading role during the sample period, but when 2010 is isolated a change in this relationship appears: a key role of sovereign CDS markets – the incorporation of new information emerges. This phenomenon is most significant in countries with high risk spread.
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