This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and … integrated price discovery methodology on a rolling sample, with the intention to shed light on whether the CDS spreads can … trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we …

This study investigates the link between price discovery dynamics in sovereign credit default swaps (CDS) and bond … markets and degree of financial integration of emerging markets. Using CDS and sovereign bond spreads, the price discovery … that sovereign CDS and bond markets are cointegrated. In 57 percent of times, the CDS market leads in price discovery by …

selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe …) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and …

selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe …) show that the impact on the credit risk of the companies, as measured by the change in the spread of CDS, is important and …