Time‐Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times
分析了2002-2008年间股票和信用违约互换（CDS）市场的动态关系，发现股票市场的信息主导地位仅在金融危机时成立，平静时期CDS市场贡献相当或更高，且公司信用风险水平正向影响其股票信息份额。
Abstract We analyse the dynamic relationship between the stock and the CDS market during the period 2002–2008. We document that the stock market's informational dominance reported in previous studies holds only in times of financial crisis. During tranquil times, the CDS market's contribution to price discovery is equal or higher than that of the stock market. Moreover, the credit risk level of the company has a positive effect on the information share of its stocks beyond the effect of the overall state of the economy. We show that these conclusions do not contradict the argument of insider trading in credit derivatives.