文章基本信息

标题：Relationship between Stock and the Sovereign CDS markets: A Panel VAR Based Analysis
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作者：Falik Shear ; Hilal Anwar Butt
期刊名称：South Asian Journal of Management Sciences
印刷版ISSN：2074-2967
出版年度：2017
卷号：11
页码：52-67
语种：English
出版社：Iqra University
摘要：This study explores the relationship between the Stock and the Sovereign Credit Default Swaps (SCDS) markets by using a dataset of 36 countries. Specifically, we apply Panel-Vector Autoregressive (PVAR) model, to gauge the impact of one market's shocks to the other. Our results decipher that changes in stock market returns explain the significant portion of the SCDS market spreads' changes. Furthermore, the magnitude of this explanation is linked with the volatility of the SCDS market. These analyses indicate that the firsthand information about the country's sovereign credit risk is contained in the respective stock market, and can be used by participants/investors to predict the SCDS market spreads.
关键词：Stock market; sovereign CDS; panel VAR; sovereign credit risk; informational efficiency.