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

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