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Applied Economics Volume 48, 2016 - Issue 19
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Original Articles

A joint analysis of market indexes in credit default swap, volatility and stock markets

José Da FonsecaDepartment of Finance, Business School, Auckland University of Technology, Auckland, New ZealandCorrespondence[email protected]
&
Peiming WangDepartment of Finance, Business School, Auckland University of Technology, Auckland, New Zealand
Pages 1767-1784 | Published online: 09 Nov 2015

Citations (8)

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Syed Jawad Hussain Shahzad, Román Ferrer, Shawkat Hammoudeh & Rania Jammazi. (2018) Industry-level determinants of the linkage between credit and stock markets. Applied Economics 50:49, pages 5277-5301.
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Articles from other publishers (7)

Yahya SÖNMEZ, Yunus BAYDAŞ & Ethem KILIÇ. (2023) CDS PRİMLERİ İLE SEÇİLİ BIST ENDEKSLERİ ARASINDAKİ VOLATİLİTE YAYILIMIVOLATILITY DISTANCE BETWEEN CDS PREMIUMS AND SELECTED BIST INDICES. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi:64, pages 29-34.
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Kai Zheng, Weidong Xu & Xili Zhang. (2021) Multivariate Regime Switching Model Estimation and Asset Allocation. Computational Economics 61:1, pages 165-196.
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İdris KARSLIOĞLU & Uğur SEVİM. (2022) HİSSE SENEDİ FİYATLARI İLE ÜLKE RİSK PRİMİ (CDS) ARASINDAKİ İLİŞKİTHE RELATIONSHIP BETWEEN STOCK PRICES AND COUNTRY RISK PREMIUM (CDS). Muhasebe Bilim Dünyası Dergisi 24:3, pages 576-593.
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Hüseyin Başar ÖNEM. (2022) Döviz Kurları ve CDS Primi Oynaklığının BIST Endekslerine Yayılım EtkisiSpread Effect of Exchange Rates and CDS Premium Volatility on BIST Indices. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi 6:2, pages 274-293.
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Saker Sabkha, Christian de Peretti & Dorra Hmaied. (2019) On the informational market efficiency of the worldwide sovereign credit default swaps. Journal of Asset Management 20:7, pages 581-608.
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Syed Jawad Hussain Shahzad, Walid Mensi, Shawkat Hammoudeh, Mehmet Balcilar & Muhammad Shahbaz. (2018) Distribution specific dependence and causality between industry-level U.S. credit and stock markets. Journal of International Financial Markets, Institutions and Money 52, pages 114-133.
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Christopher L. Culp, Andria van der Merwe & Bettina J. StärkleChristopher L. Culp, Andria van der Merwe & Bettina J. Stärkle. 2018. Credit Default Swaps. Credit Default Swaps 219 248 .

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