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Industry-level determinants of the linkage between credit and stock markets
Shahzad, Syed Jawad Hussain; Ferrer, Román; Hammoudeh, … - In: Applied economics 50 (2018) 49, pp. 5277-5301
Persistent link: https://www.econbiz.de/10012062147
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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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Can CDS indexes signal future turmoils in the stock market? : a Markov switching perspective
Castellano, Rosella; Scaccia, Luisa - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 285-305
Persistent link: https://www.econbiz.de/10010356926
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Price discovery in CDS and equity markets : default risk-based heterogeneity in the systematic investment grade and high yield sectors
Procasky, William J. - In: Journal of financial markets 54 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013273142
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The relative efficiency of investment grade credit and equity markets
Procasky, William J. - In: International Journal of Financial Markets and … 9 (2023) 1/2, pp. 43-58
Persistent link: https://www.econbiz.de/10014311699
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Time-varying credit risk discovery in the stock and CDS markets : evidence from quiet and crisis times
Forte, Santiago; Lovreta, Lidija - In: European financial management : the journal of the … 21 (2015) 3, pp. 430-461
Persistent link: https://www.econbiz.de/10011317998
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Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Journal of international financial markets, … 52 (2018), pp. 114-133
Persistent link: https://www.econbiz.de/10011986230
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Stock return expectations in the credit market
Byström, Hans N. E. - In: International review of financial analysis 56 (2018), pp. 85-92
Persistent link: https://www.econbiz.de/10012006222
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Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants
Shahzad, Syed Jawad Hussain; Safwan Mohd Nor; … - In: International review of economics & finance : IREF 47 (2017), pp. 46-61
Persistent link: https://www.econbiz.de/10011740095
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Brexit : (not) another Lehman moment for banks?
Schiereck, Dirk; Kiesel, Florian; Kolaric, Sascha - In: Finance research letters 19 (2016), pp. 291-297
Persistent link: https://www.econbiz.de/10011657723