Journal article 755 views
Price discovery of credit spreads in tranquil and crisis periods
Davide Avino 
,
Emese Lazar,
Simone Varotto
,
Emese Lazar,
Simone Varotto
International Review of Financial Analysis, Volume: 30, Pages: 242 - 253
Swansea University Author:
Davide Avino
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DOI (Published version): 10.1016/j.irfa.2013.08.002
Abstract
Credit spreads can be derived from the prices of securities traded in different markets. In this paper we investigate the price discovery process in single-name credit spreads obtained from bonds, credit default swaps, equities and equity options. Using a vector error correction model (VECM) of chan...
| Published in: | International Review of Financial Analysis |
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| Published: |
2013
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa21587 |
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| Abstract: |
Credit spreads can be derived from the prices of securities traded in different markets. In this paper we investigate the price discovery process in single-name credit spreads obtained from bonds, credit default swaps, equities and equity options. Using a vector error correction model (VECM) of changes in credit spreads for a sample that includes the 2007-2009 financial crisis, we find that during periods of high volatility, price discovery takes place primarily in the option market. |
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| College: |
Faculty of Humanities and Social Sciences |
| Start Page: |
242 |
| End Page: |
253 |