ITraxx市场cd掉期隐含波动率特征及其与股票市场的关系

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2009-05-11 DOI:10.2139/ssrn.1402984

R. Bhar, David B. Colwell, Peipei Wang

{"title":"ITraxx市场cd掉期隐含波动率特征及其与股票市场的关系","authors":"R. Bhar, David B. Colwell, Peipei Wang","doi":"10.2139/ssrn.1402984","DOIUrl":null,"url":null,"abstract":"We investigate the characteristic of implied volatility in CDS market and its relationship with stock market within European area. The comprehensive analysis show that stock market weakly leads CDS market on daily changes but for implied volatility, the stock market leads CDS market, and VECM analysis show that only the stock market contribute to price discovery. For sub-investment grade entities, the interactivities between implied volatility of CDS market and implied volatility of stock market are stronger especially during the recent credit crunch period.","PeriodicalId":47599,"journal":{"name":"European Journal of Finance","volume":null,"pages":null},"PeriodicalIF":2.2000,"publicationDate":"2009-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market\",\"authors\":\"R. Bhar, David B. Colwell, Peipei Wang\",\"doi\":\"10.2139/ssrn.1402984\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We investigate the characteristic of implied volatility in CDS market and its relationship with stock market within European area. The comprehensive analysis show that stock market weakly leads CDS market on daily changes but for implied volatility, the stock market leads CDS market, and VECM analysis show that only the stock market contribute to price discovery. For sub-investment grade entities, the interactivities between implied volatility of CDS market and implied volatility of stock market are stronger especially during the recent credit crunch period.\",\"PeriodicalId\":47599,\"journal\":{\"name\":\"European Journal of Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2009-05-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"European Journal of Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1402984\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"European Journal of Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/ssrn.1402984","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 6

摘要

本文研究了欧洲地区CDS市场隐含波动率的特征及其与股票市场的关系。综合分析表明，股票市场对CDS市场的日变动微弱，但对于隐含波动率，股票市场领先CDS市场，VECM分析表明，只有股票市场对价格发现有贡献。对于次级投资级实体，CDS市场隐含波动率与股票市场隐含波动率之间的相互作用更强，尤其是在最近的信贷紧缩时期。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market

We investigate the characteristic of implied volatility in CDS market and its relationship with stock market within European area. The comprehensive analysis show that stock market weakly leads CDS market on daily changes but for implied volatility, the stock market leads CDS market, and VECM analysis show that only the stock market contribute to price discovery. For sub-investment grade entities, the interactivities between implied volatility of CDS market and implied volatility of stock market are stronger especially during the recent credit crunch period.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.