new shock, referred as a lemons shock, which changes the riskiness of debtors in the mean-preserving spread sense with …. First, even though a lemons shock affects the degree of adverse selection and thus captures financial disruptions, the shock … has little effect on fluctuations at standard business cycle frequencies. In contrast, the shock contributes dominantly to …

This study investigates how equity trading activity dynamically responds to credit spread shock. Based on the analysis … drops following the shock to credit spread. The results from the Granger-causality test show that credit spread Granger …