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

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Laura Ballester

    (University of Valencia)

  • Rebeca Fernández

    (MUSAAT)

  • Ana González-Urteaga

    (INARBE (Institute for Advanced Research in Business and Economics)
    INARBE (Institute for Advanced Research in Business and Economics), Public University of Navarre)

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.

Suggested Citation

  • Laura Ballester & Rebeca Fernández & Ana González-Urteaga, 2018. "An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 93-96, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_16
    DOI: 10.1007/978-3-319-89824-7_16
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