Ding, Liang; Pu, Xiaoling - In: Journal of Economics and Business 64 (2012) 2, pp. 145-159
We examine market linkage and information spillover across the U.S. stock, corporate bond, and credit derivatives markets in the pre-crisis, crisis, and recovery periods. Our results suggest that information spills over across markets in a timely manner. We find that the market linkage becomes...