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Market linkage and information spillover: Evidence from pre-crisis, crisis, and recovery periods

  • Ding, Liang
  • Pu, Xiaoling
Registered author(s):

    We examine market linkage and information spillover across the U.S. stock, corporate bond, and credit derivatives markets in the pre-crisis, crisis, and recovery periods. Our results suggest that information spills over across markets in a timely manner. We find that the market linkage becomes stronger in the crisis period, which could be explained by the increasing volatility and deteriorating funding liquidity. In particular, volatility plays a dominant role in the information transmission, which absorbs the liquidity effect when both volatility and liquidity are included as exogenous factors in a vector autoregressive model.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0148619511000567
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    Article provided by Elsevier in its journal Journal of Economics and Business.

    Volume (Year): 64 (2012)
    Issue (Month): 2 ()
    Pages: 145-159

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    Handle: RePEc:eee:jebusi:v:64:y:2012:i:2:p:145-159
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconbus

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