The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
By Lars Norden, Martin Weber. 2009
536 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/ea500d2729f09a727f8b82295ba3275cc5dbcf7f
How researchers see this paper
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In Accounting
- Jennifer Brown
- Carl R. Chen
- Fengjuan Guo
- Y. Huang
- David A. Matsa
- Todd A. Gormley
- Caroline Flammer
- Erik P. Gilje
In Finance
- Carl R. Chen
- Fengjuan Guo
- Hyeongwoo Kim
- Y. Huang
- David A. Matsa
- Hong-Ghi Min
- Bong-Han Kim
- E-bin Hwang
Citations in the corpus
- Determinants of stock market comovements among US and emerging economies during the US financial crisis (2013, background): “We include CDS spreads because Jorion and Zhang (2007) show that credit event information is captured in the CDS spread and Bystrom (2005) and Norden and Weber (2009) find that positive stock returns are negatively associated with CDS spread changes.”
- A Simple Indicator of Systemic Risk (2013, unknown): “Not surprisingly, equity volatilities have been shown to significantly correlate with bond rating downgrades/reviews (Di Cesare, 2006), bond yields (Campbell and Taksler, 2003), spread movements of credit default swaps (Norden and Weber, 2009), and bank fragility (Bongini et al.”
- 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.”
- Boarding a Sinking Ship? An Investigation of Job Applications to Distressed Firms (2016, background): “17 Papers studying the relationship between the stock and CDS markets include Longstaff et al. (2003), Fung et al. (2008), Forte and Pena (2009), and Norden and Weber (2009).”
- Are All Credit Default Swap Databases Equal (2013, unknown): “We follow the methodology of Norden and Weber (2009) and direct our attention on the analysis of the price discovery process between stock and CDS returns on the basis of the standard Granger causality test.”
- Did CDS Trading Improve the Market for Corporate Bonds (2014, unknown): “Norden and Weber (2009) study the intertemporal relationships between CDS, stock and bond markets.”