Investor Sentiment and Credit Default Swap Spreads During the Global Financial Crisis

被引：10

作者：

Lee, Jeehye ^{[1
]}

Kim, Sol ^{[2
]}

Park, Yuen Jung ^{[3
]}

机构：

[1] Hankuk Univ Foreign Studies, Seoul, South Korea

[2] Hankuk Univ Foreign Studies, Coll Business, Seoul, South Korea

[3] Hallym Univ, Dept Finance, 1 Hallymdaehak Gil, Chunchon, Gangwon Do, South Korea

来源：

JOURNAL OF FUTURES MARKETS | 2017年 / 37卷 / 07期

关键词：

SOVEREIGN DEBT CRISIS; EXPECTED STOCK RETURNS; CDS SPREADS; DETERMINANTS; VOLATILITY; RISK; CONTAGION; EXCHANGE; EUROZONE; VARIANCE;

D O I：

10.1002/fut.21828

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines whether investor sentiment can predict credit default swap (CDS) spread changes. Among several proxies for investor sentiment, change in equity put-call ratio performs best in predicting variation in CDS spread changes in both firm- and portfolio-level regressions; in particular, the explanatory power of this proxy is greater for non-investment-grade firms than for investment-grade firms. More importantly, sentiment may be a critical factor in determining CDS spread changes during the global financial crisis and may best explain the differences in CDS spread in the group of firms whose leverage ratio and stock volatility are highest. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:660-688, 2017

引用

页码：660 / 688

页数：29

共 50 条

[1] The Determinants of Global Bank Credit-Default-Swap Spreads
Hasan, Iftekhar
Liu, Liuling
Zhang, Gaiyan
[J]. JOURNAL OF FINANCIAL SERVICES RESEARCH, 2016, 50 (03) : 275 - 309
[2] The Determinants of Global Bank Credit-Default-Swap Spreads
Iftekhar Hasan
Liuling Liu
Gaiyan Zhang
[J]. Journal of Financial Services Research, 2016, 50 : 275 - 309
[3] How the Subprime Crisis went global: Evidence from bank credit default swap spreads
Eichengreen, Barry
Mody, Ashoka
Nedeljkovic, Milan
Sarno, Lucio
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2012, 31 (05) : 1299 - 1318
[4] Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis
Xiaoqing Fu
Matthew C. Li
Philip Molyneux
[J]. Empirical Economics, 2021, 60 : 2203 - 2225
[5] Liquidity crunch and interdependence among major financial institutions during global financial turmoil Evidence from credit default swap spreads
Ohno, Sanae
[J]. ECONOMICS AND FINANCE RESEARCH, 2011, 4 : 455 - 459
[6] Persistence of Bank Credit Default Swap Spreads
Huang, Xin
[J]. RISKS, 2019, 7 (03)
[7] Credit default swap spreads: market conditions, firm performance, and the impact of the 2007-2009 financial crisis
Fu, Xiaoqing
Li, Matthew C.
Molyneux, Philip
[J]. EMPIRICAL ECONOMICS, 2021, 60 (05) : 2203 - 2225
[8] Corporate innovation and credit default swap spreads
Lee, Hwang Hee
Oh, Frederick Dongchuhl
[J]. FINANCE RESEARCH LETTERS, 2020, 32
[9] Explaining aggregate credit default swap spreads
Breitenfellner, Bastian
Wagner, Niklas
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2012, 22 : 18 - 29
[10] The impact of credit rating announcements on credit default swap spreads
Finnerty, John D.
Miller, Cameron D.
Chen, Ren-Raw
[J]. JOURNAL OF BANKING & FINANCE, 2013, 37 (06) : 2011 - 2030

← 1 2 3 4 5 →