...Jungmu Kim; Yuen Jung Park This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional...

...Dongyoup Lee This article examines the informational content of credit default swap (CDS) net notional for future stock and CDS prices. Using the information on CDS contracts registered in DTCC, a clearinghouse, I construct CDS-to-debt ratios from net notional, that is, the sum of net positive...

... the global financial crisis period. The result implies that, after the recent crisis, investors more actively considered equity illiquidity costs when they hedged their CDS exposures by stocks. Credit Default Swap CDS Spread Changes Equity Liquidity Stock Return Jump Principle Component Analysis...

... and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode Credit Default Swap Slope of term structure Future Returns of Stocks Forecasting Power Anomaly ...

... to the relevant regime. Derivatives Credit Default Swap Structural Credit Risk Model Markov Switching © 2012 Emerald Publishing Limited 2012 This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works...