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

[31] The relationship between credit default swap spreads and equity prices
Marzano, Michele
Dunn, Gary
Constantinou, Nick
[J]. JOURNAL OF RISK, 2014, 17 (01): : 3 - 28
[32] Uncertain tone, asset volatility and credit default swap spreads
Doshi, Hitesh
Patel, Saurin
Ramani, Srikanth
Sooy, Matthew
[J]. JOURNAL OF CONTEMPORARY ACCOUNTING & ECONOMICS, 2023, 19 (03)
[33] Trading strategies with implied forward credit default swap spreads
Leccadito, Arturo
Tunaru, Radu S.
Urga, Giovanni
[J]. JOURNAL OF BANKING & FINANCE, 2015, 58 : 361 - 375
[34] Market and Model Credit Default Swap Spreads: Mind the Gap!
Bedendo, Mascia
Cathcart, Lara
El-Jahel, Lina
[J]. EUROPEAN FINANCIAL MANAGEMENT, 2011, 17 (04) : 655 - 678
[35] The Co-Movements of Credit Default Swap Spreads in China
Wang, Xiaoxuan
Wang, Xinjie
Zhao, Suyang
[J]. EMERGING MARKETS FINANCE AND TRADE, 2023, 59 (05) : 1624 - 1639
[36] The reaction of European credit default swap spreads to the US credit rating downgrade
Blau, Benjamin M.
Roseman, Brian S.
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2014, 34 : 131 - 141
[37] FINANCIAL DEVELOPMENT, DEFAULT RATES AND CREDIT SPREADS
Peri, Alessandro
Rachedi, Omar
[J]. ECONOMIC JOURNAL, 2020, 130 (626): : 534 - 553
[38] On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis
Buzkova, Petra
Kopa, Milos
[J]. FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, 2016, 66 (06): : 510 - 538
[39] Credit default swap spreads, fair-value spreads and interest rate dynamics
Yeh, Andy Jia-Yuh
[J]. JOURNAL OF CREDIT RISK, 2012, 8 (04): : 53 - 129
[40] Investigating the dependence structure between credit default swap spreads and the U.S. financial market
Gatfaoui H.
[J]. Annals of Finance, 2010, 6 (4) : 511 - 535

← 1 2 3 4 5 →