Purpose -The purpose of this paper is to examine the dynamic dependence structure in credit risk between the money market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market and CDS index spread for the derivatives market....

Purpose – We test for the validity of the smoothing and signalling hypotheses of dividend determination. Design/methodology/approach - Using a VAR framework we examine the dynamic behaviour of share prices, dividends and earnings for 137 UK manufacturing and service companies, observed over...

Purpose – We test for the validity of the smoothing and signalling hypotheses of dividend determination. Design/methodology/approach – Using a VAR framework we examine the dynamic behaviour of share prices, dividends and earnings for 137 UK manufacturing and service companies, observed over...

Purpose – The purpose of this paper is to examine the dynamic dependence structure in credit risk between the money market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market and CDS index spread for the derivatives market....