Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market

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Markets contagion during financial crisis: A regime-switching approach☆ (2011, result): “2, and are more consistent with the findings in Bystrom (2005) and Norden and Weber (2007) that the stock market and CDS market are correlated.”
Regime dependent determinants of credit default swap spreads (2008, background): “interest rates, stock returns and implied volatility each has a significant effect on CDS spreads (Benkert, 2004; Ericsson et al., 2004; Byström, 2005).”
Decomposing European CDS Returns (2010, background): “…the level of European credit spreads (as opposed to changes in spreads or credit market returns), including Annaert et al. (2000), Kiesel et al. (2001), Blanco et al. (2005), Byström (2005), Abid and Naifar (2006), Byström (2006), Düllmann and Sosinska (2007) and Karlson and Willebrand (2008).”