Intra-Industry Credit Contagion: Evidence from the Credit Default Swap Market and the Stock Market

2005 ◽  
Author(s):  
Gaiyan Zhang
Keyword(s):  
Stock Market ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Credit Contagion

scholarly journals The effect on intra-industry rivals when firms emerge from and refile for chapter 11 bankruptcies

2010 ◽  
Vol 8 (1) ◽  
pp. 402-414
Author(s):  
Jow-Ran Chang ◽  
Chii-Shyan Kuo ◽  
Yu-Chun Tseng
Keyword(s):  
Credit Default Swap ◽  
Contagion Effect ◽  
Financial Difficulty ◽  
Contagion Effects ◽  
Credit Default ◽  
Default Swap ◽  
Credit Contagion ◽  
Industry Peers

We examine the intra-industry credit contagion effect when firms emerge from and refile for Chapter11 bankruptcies. We use the industry competitors‟ daily credit default swap (CDS) spreads to measure the contagion effects. We find that the firm‟s emergence from bankruptcy protection favorably affects the creditworthiness of market leaders. One possible interpretation of the result is that industry leaders could be less susceptible to the competitive challenges induced by the reinvigorated firms from bankruptcies. In addition, the markets may interpret such events positively since healthy competitors can boost and benefit the prospects of industry. Further, we find that Chapter 11 bankruptcy refilings also generate a favorable contagion effect. Apparently, the refiling firm‟s industry peers may benefit from the financial difficulty of the refiling firms.

Are the U.S. Stock Market and Credit Default Swap Market Related?

2008 ◽  
Vol 11 (1) ◽  
pp. 43-61 ◽  
Author(s):  
Hung-Gay Fung ◽  
Gregory E. Sierra ◽  
Jot Yau ◽  
Gaiyan Zhang
Keyword(s):  
Stock Market ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
The U.S

Le marché des Credit Default Swap (CDS)

2009 ◽  
Vol 189 (3) ◽  
pp. 133-140
Author(s):  
Antoine Bouveret
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

The signalling properties of the shape of the credit default swap term structure

2015 ◽  
Vol 17 (4) ◽  
pp. 71-99 ◽  
Author(s):  
Jenny Castellanos ◽  
Nick Constantinou ◽  
Wing Lon Ng
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap
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