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Price discovery of credit spreads in tranquil and crisis periods

Davide Avino Orcid Logo, Emese Lazar, Simone Varotto

International Review of Financial Analysis, Volume: 30, Pages: 242 - 253

Swansea University Author: Davide Avino Orcid Logo

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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...

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Published in: International Review of Financial Analysis
Published: 2013
URI: https://cronfa.swan.ac.uk/Record/cronfa21587
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first_indexed 2015-05-20T02:03:31Z
last_indexed 2019-07-24T14:20:08Z
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spelling 2019-07-24T11:21:49.9528397 v2 21587 2015-05-19 Price discovery of credit spreads in tranquil and crisis periods 3d6ddd8aed8a2b08573445a9d2ec2469 0000-0002-5314-2067 Davide Avino Davide Avino true false 2015-05-19 BAF 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. Journal Article International Review of Financial Analysis 30 242 253 31 12 2013 2013-12-31 10.1016/j.irfa.2013.08.002 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2019-07-24T11:21:49.9528397 2015-05-19T20:42:06.1850988 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Davide Avino 0000-0002-5314-2067 1 Emese Lazar 2 Simone Varotto 3
title Price discovery of credit spreads in tranquil and crisis periods
spellingShingle Price discovery of credit spreads in tranquil and crisis periods
Davide Avino
title_short Price discovery of credit spreads in tranquil and crisis periods
title_full Price discovery of credit spreads in tranquil and crisis periods
title_fullStr Price discovery of credit spreads in tranquil and crisis periods
title_full_unstemmed Price discovery of credit spreads in tranquil and crisis periods
title_sort Price discovery of credit spreads in tranquil and crisis periods
author_id_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469
author_id_fullname_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469_***_Davide Avino
author Davide Avino
author2 Davide Avino
Emese Lazar
Simone Varotto
format Journal article
container_title International Review of Financial Analysis
container_volume 30
container_start_page 242
publishDate 2013
institution Swansea University
doi_str_mv 10.1016/j.irfa.2013.08.002
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 0
active_str 0
description 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.
published_date 2013-12-31T03:25:38Z
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score 11.012791

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