Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

By J. Chan-Lau, Y. Kim. Social Science Research Network, 2004

123 citations recorded by the source corpus.

This paper examines equilibrium price relationships and price discovery between credit default swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries, however, we do not find any equilibrium price relationship between the bond and CDS markets and the equity markets. As for price discovery, our results are mixed. This stands in contrast to the empirical findings on corporate issuers in the United States and Europe.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/f64931258170b249c575be8e199d03e5dbb4aeb3

Citations in the corpus

Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter? (2011, unknown): “Among empirical studies with an emerging-market focus, the paper that appears to be most similar to the dynamic analysis undertaken here is Chan-Lau and Kim (2004), who look for lead-lag relationships among sovereign bond indices, sovereign CDS premiums, and national stock market indexes, reporting…”
Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis (2012, unknown): “…and Schrilvers (2003), Sy (2001), Sy (2003), Hartelius and Kodres (2008) and Hilscher and Nosbrusch (2010)) or the relationship between emerging sovereign CDS premia and underlying bonds (Chan-Lau and Kim (2004), Andritsky and Singh (2006) and Powell and Martinez (2008)), rely on EMBI spreads.”
Exploring the CDS-Bond Basis (2006, unknown): “9 See Beinstein et al. (2005), Blanco et al. (2005), Calamaro and Thakkar (2004), Chan-Lau and Kim (2004), Cossin and Lu (2005), Crouch and Marsh (2005), Felsenheimer (2004), Francis et al. (2003), Hjort et al. (2002), Hull et al. (2004), McAdie and O'Kane (2001), Mc Pherson et al. (2002), Taksler…”