scholarly journals AN ANALYSIS OF THE RELATIONSHIP BETWEEN THE SOVEREIGN CREDIT DEFAULT SWAPS AND THE STOCK MARKET OF PAKISTAN THROUGH HANDLING OUTLIERS

2017 ◽  
Author(s):  
Falik Shear ◽  
Hilal Anwar Butt ◽  
Imtiaz Badshah
Keyword(s):  
Stock Market ◽  
Credit Default Swaps ◽  
Sovereign Credit ◽  
Credit Default ◽  
The Relationship

scholarly journals Market frictions and the pricing of sovereign credit default swaps

2016 ◽  
Vol 60 ◽  
pp. 223-252 ◽  
Author(s):  
Antonio Rubia ◽  
Lidia Sanchis-Marco ◽  
Pedro Serrano
Keyword(s):  
Credit Default Swaps ◽  
Market Frictions ◽  
Sovereign Credit ◽  
Credit Default

scholarly journals Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

Mathematics ◽  
2020 ◽  
Vol 8 (10) ◽  
pp. 1667
Author(s):  
Laura Ballester ◽  
Ana González-Urteaga
Keyword(s):  
Stock Market ◽  
Financial Crises ◽  
Credit Default Swap ◽  
Equity Returns ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Credit Default ◽  
The Us ◽  
The Relationship

This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016. We use a rolling VAR framework that enables us to analyse the connection process over time covering both crisis and non-crisis periods. In addition, we analyse the relationship between stock market volatility and CDS returns. We find that the connection between the credit and equity markets does exist and that it is time variable and seems to be related to financial crises. We also observe that stock market returns anticipate sovereign CDS returns, and sovereign CDSs anticipate the conditional volatility of equity returns, closing a connectedness circle between markets. Contribution percentages in terms of returns are more intense in the US than in Europe and the opposite result is found with respect to volatilities. Within Europe, a greater impact in Eurozone countries compared to non-Eurozone countries is observed. Finally, an additional analysis is also carried out for the financial sector, obtaining results largely consistent with those found using sovereign data.

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