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The nexus between sovereign cds and stock market volatility: new evidence

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The nexus between sovereign cds and stock market volatility: new evidence

dc.contributor.author	Ballester Miquel, Laura
dc.contributor.author	Escrivá, Ana Mónica
dc.contributor.author	González Urteaga, Ana
dc.date.accessioned	2022-04-24T16:13:27Z
dc.date.available	2022-04-25T04:45:06Z
dc.date.issued	2021	es_ES
dc.identifier.citation	Ballester L, Escrivá AM, González-Urteaga A. The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence. Mathematics. 2021; 9(11):1201.	es_ES
dc.identifier.uri	https://hdl.handle.net/10550/82359
dc.description.abstract	This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed using a vector autoregressive model (VAR) and dynamically applying the Granger causality test. The conditional volatility of the stock market has been obtained through various univariate GARCH models. This methodology allows us to study the information transmissions, both unidirectional and bidirectional, that occur between CDS spreads and stock volatility between 2004 and 2020. We conclude that CDS spread returns cause (in the Granger sense) conditional stock volatility, mainly in Europe and during the sovereign debt crisis. This transmission dynamic breaks down during the COVID-19 period, where there are high bidirectional relationships between the two markets.	es_ES
dc.language.iso	en	es_ES
dc.subject	cds sovereign spread	es_ES
dc.subject	conditional volatility	es_ES
dc.subject	garch	es_ES
dc.subject	var	es_ES
dc.subject	granger causality	es_ES
dc.title	The nexus between sovereign cds and stock market volatility: new evidence	es_ES
dc.type	journal article	es_ES
dc.subject.unesco	UNESCO::CIENCIAS ECONÓMICAS	es_ES
dc.identifier.doi	10.3390/math9111201	es_ES
dc.identifier.idgrec	151384
dc.accrualmethod	S	es_ES
dc.embargo.terms	0 days	es_ES