Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 145-158
This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on information transmission between the stock and CDS markets. Using the daily regression analysis on the Korean firm's stock and CDS data from 2004 to 2023, the results show that...