Shahzad, Syed Jawad Hussain; Nor, Safwan Mohd; Sanusi, … - In: Journal of Economic Studies 44 (2017) 4, pp. 518-539
Purpose The purpose of this paper is to identify the arbitrage opportunities between US industry-level credit and stock markets with a focus on dynamic lead-lag relationships given that these markets involve heterogeneous agents operating over various time horizons. Design/methodology/approach...