degree of semi-strong form market efficiency in the credit default swap (CDS) market by examining the relationship between … subsequent CDS returns and previously announced quarterly earnings surprises and quarterly accruals, both of which have been the … 2008, (2) during the credit crisis and (3) after the credit crisis. Prior to the credit crisis, the CDS market was …

contained in each market with respect to future stock, CDS and option market movements. A lead-lag relation is found between the … options and CDS market in which changes in equity options' implied volatility are able to consistently forecast changes in CDS … a very fast growing competitive market like the CDS market. Moreover, in contrast to US results, the stock market is …

contained in each market with respect to future stock, CDS and option market movements. A lead-lag relation is found between the … CDS market and the other markets, in which changes in CDS spreads are able to consistently forecast changes in stock … prices and equity options' implied volatilities pointing out how the fast growing CDS market seems to play a special role in …

Following the recent financial crisis, increasing the transparency of credit default swap (CDS) markets has been a … popular goal among regulators. We examine how changes in the transparency of the CDS market can impact liquidity in the … equity market quality: a difference-in-differences approach shows that, following the increase in CDS market transparency …

. (2005) we test the theoretical equivalence of credit default swap (CDS) and spreads that dictates a CI relationship between … also domestic factors. The main hypothesis we test is to what extent spreads and CDS are indeed integrated that may result … find that spreads and CDS are cointegrated, though threshold effects are also revealed in terms of events that have …