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フルテキストURLD300017000003.pdf ( 1.6MB ) 公開日 2019-06-14
タイトルLead-lag relationship between the CDS and the stock market and informed trading : Evidence from the Japanese CDS market
作成者Park, Jinwoo
Shiroshita, Kengo
Sun, Naili
作成者ヨミシロシタ, ケンゴ
作成者別表記城下, 賢吾
作成者所属山口大学経済学部
内容記述(抄録等)This paper investigates the dynamic relationship between CDS and stock market whether informed trading occurs in Japanese market. We find that the lead-lag relationship between CDS and stock market is not stable and that CDS market’s contribution to the price discovery process is much higher in times of crisis. In addition, the unconditional information flow from CDS to stock market exists, but primarily for keiretsu-affiliated firms. Furthermore, the flow of information from CDS market to stock market, which is conditional on there being a bad credit event ahead, exists only in times of crisis and only for keiretsu-affiliated firms
本文言語eng
著者キーワードCredit risk
CDS (credit default swap)
Lead-lag relationship
Information flow
Informed trading
資料タイプtext
ファイル形式application/pdf
出版者山口大学大学院東アジア研究科
出版者ヨミヤマグチ ダイガク ダイガクイン ヒガシアジア ケンキュウカ
NII資料タイプ学術雑誌論文
ISSN1347-9415
NCIDAA11831154
学内刊行物(紀要等)東アジア研究
掲載誌名東アジア研究
掲載誌名別表記Journal of East Asian studies
17
開始ページ41
終了ページ59
発行日2019-03
著者版/出版社版出版社版
リポジトリIDD300017000003
地域区分山口大学
URIhttp://www.lib.yamaguchi-u.ac.jp/yunoca/handle/D300017000003