Shiroshita Kengo
Affiliate Master
Yamaguchi University
Lead-lag relationship between the CDS and the stock market and informed trading : Evidence from the Japanese CDS market
Journal of East Asian studies Volume 17
Page 41-59
published_at 2019-03
Title
Lead-lag relationship between the CDS and the stock market and informed trading : Evidence from the Japanese CDS market
Source Identifiers
Creator Keywords
Credit risk
CDS (credit default swap)
Lead-lag relationship
Information flow
Informed trading
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
Languages
eng
Resource Type
journal article
Publishers
山口大学大学院東アジア研究科
Date Issued
2019-03
File Version
Version of Record
Access Rights
open access
Relations
[ISSN]1347-9415
[NCID]AA11831154
Schools
経済学部