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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
D300017000003.pdf
[fulltext] 1.63 MB
Title
Lead-lag relationship between the CDS and the stock market and informed trading : Evidence from the Japanese CDS market
Creators Park Jinwoo
Creators Shiroshita Kengo
Creators Sun Naili
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