This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period 2000-02. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by...

Empirical research documents that temporary trends in stock price movements exist. Moreover, riding a trend can be a profitable investment strategy. Thus, the ability to recognize trends in stock markets influences the quality of investment decisions. In this Paper, we provide a thorough test of...