文章基本信息

标题：CDS and Stock Market: Panel Evidence Under Cross-Section Dependency
本地全文：下载
作者：SINAN ESEN ; FEYYAZ ZEREN ; HALIL ŞIMDI 等
期刊名称：South-Eastern Europe Journal of Economics (SEEJE)
印刷版ISSN：1109-8597
电子版ISSN：1792-3115
出版年度：2015
卷号：13
期号：1
页码：31-46
出版社：Association of Economic Universities of South and Eastern Europe and the Black Sea Region
摘要：In recent years, the spreads of CDS that are crucial aspects in detecting the finan-cial risk level of countries have been taken more notice of by investors. In this paper, we investigate the relation between CDS spreads and countries’ stock in-dices by using Basher and Westerlund (2009) panel cointegration and Dumitrescu-Hurlin (2012) panel causality tests. Causality from stock market to CDS figures has been detected by the Sequential Panel Selection Method (SPSM) of Chortareas and Kapetanios (2009) for 7 out of 13 G20 countries. Additionally, the study finds a negative correlation between variables with the usage of Common Correlated Ef-fects (CCE) estimator. The positive increasing trend in stock markets causes a de-crease in the financial risks that naturally allow low CDS spreads
关键词：CDS Spread; Stock Market; Panel Cointegration; Panel Causality; Cross-Section Dependency