IDEAS home Printed from https://ideas.repec.org/a/mth/ajfa88/v9y2017i2p270286.html

The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries

Author

Listed:
  • Ngan Bich Nguyen

Abstract

This paper employs the multivariate VAR model to examine the mechanic work of price discovery process between sovereign CDS market and the associated sovereign bond market in contexts of five European and Asian countries, including Vietnam, Korea, Portugal, Italy and France from the beginning of 2008 to the end of April, 2017. The study accentuates on three aspects- the short-term interaction nexus between the sovereign CDS and the associated-sovereign bond market, the long-term co-movement between them and the discovery of which market plays the leading role in the pricing process. The results evidence the short-run and long-run relationship for the two markets. Particularly, the empirical test results support for the predominant role of the sovereign CDS market in the price discovery process in the bulk of sample entities. This might suggests for the governments to use CDS prices as the future indicator for predicting the volatility of debt markets.

Suggested Citation

  • Ngan Bich Nguyen, 2017. "The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 9(2), pages 270286-2702, December.
    • Handle: RePEc:mth:ajfa88:v:9:y:2017:i:2:p:270286
    as

    Download full text from publisher

    File URL: https://www.macrothink.org/journal/index.php/ajfa/article/download/11636/9776
    Download Restriction: no
    File URL: https://www.macrothink.org/journal/index.php/ajfa/article/view/11636
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mth:ajfa88:v:9:y:2017:i:2:p:270286. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Technical Support Office (email available below). General contact details of provider: http://www.macrothink.org/journal/index.php/ajfa .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.