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An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market

  • Laura BallesterEmail author
  • Rebeca Fernández
  • Ana González-Urteaga
Chapter

Abstract

This paper complements the recent literature providing a thorough research of the lead lag relationship between stock and sovereign CDS markets using a rolling VAR framework. We find that the transmission channel between the credit and stock market exist. This phenomenon is time varying, it seems to be related with the economic cycle and in general, it’s more intense in US than in Europe.

Notes

Acknowledgements

Authors express their gratitude to Fundación Ramón Areces. A. González-Urteaga acknowledges support from ECO2015-67035-P and ECO2016-77631-R. We thank A. Pardo, O.Carchano, J.A. Álvarez and participants at the 15th INFINITI Conference and Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018) for comments.

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  • Laura Ballester
    • 1
    Email author
  • Rebeca Fernández
    • 2
  • Ana González-Urteaga
    • 3
    • 4
  1. 1.University of ValenciaValenciaSpain
  2. 2.MUSAATMadridSpain
  3. 3.INARBE (Institute for Advanced Research in Business and Economics)PamplonaSpain
  4. 4.Public University of NavarreINARBE (Institute for Advanced Research in Business and Economics)PamplonaSpain

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