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The information content of OTC individual put option implied volatility for credit default swap spreads

Park, Yuen Jung; Kim, Tong Suk - In: Asia-Pacific journal of financial studies 41 (2012) 4, pp. 491-516

Persistent link: https://www.econbiz.de/10009618798

The linkage between the options and credit default swap markets during the subprime mortgage crisis

Kim, Tong Suk; Park, Yuen Jung; Noh, Jaesun - In: The journal of futures markets 33 (2013) 6, pp. 518-554

Persistent link: https://www.econbiz.de/10009756568

Investor sentiment and credit default swap spreads during the global financial crisis

Lee, Jeehye; Kim, Sol; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 7, pp. 660-688

Persistent link: https://www.econbiz.de/10011950863

Macroeconomic conditions and credit default swap spread changes

Kim, Tong Suk; Park, Jae Won; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 8, pp. 766-802

Persistent link: https://www.econbiz.de/10011950882

The impacts of overseas market shocks on the CDS-option basis

Park, Yuen Jung; Kutan, Ali Mustafa; Ryu, Doojin - In: The North American journal of economics and finance : a … 47 (2019), pp. 622-636

Persistent link: https://www.econbiz.de/10012120141

Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market

Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 28 (2020) 3, pp. 107-122

This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation...

Persistent link: https://www.econbiz.de/10012592651

Asymmetric information in the equity market and information flow from the equity market to the CDS market

Park, Heewoo; Kim, Tong Suk; Park, Yuen Jung - In: Journal of financial markets 55 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10014543775

Stock buybacks and credit default swap spread changes

Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 31 (2023) 1, pp. 55-75

The authors investigate whether the effects of stock buyback announcements on credit default swap (CDS) spread changes for US firms depend on macroeconomic conditions. The authors find that abnormal CDS spreads increase for small-sized firms announced to repurchase a higher share ratio during...

Persistent link: https://www.econbiz.de/10014226933

Does information environment affect information spillover between the CDS and stock markets in Korea?

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...

Persistent link: https://www.econbiz.de/10015055028

Inferring correlations of asset values and distances-to-default from CDS spreads : a structural model approach

Kitwiwattanachai, Chanatip; Pearson, Neil D. - In: Review of asset pricing studies 5 (2015) 1, pp. 112-154

Persistent link: https://www.econbiz.de/10011318432