The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
分析2000-2002年间信用违约互换、债券和股票市场间的联动关系，发现股票回报领先CDS和债券利差变化，CDS市场对股票市场更敏感，且CDS市场在价格发现中贡献大于债券市场。
Abstract We analyse the relationship between credit default swap (CDS), bond and stock markets during 2000–2002. Focusing on the intertemporal co‐movement, we examine monthly, weekly and daily lead‐lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa. Third, the CDS market is more sensitive to the stock market than the bond market and the strength of the co‐movement increases the lower the credit quality and the larger the bond issues. Finally, the CDS market contributes more to price discovery than the bond market and this effect is stronger for US than for European firms.