SLPR2016IREF.pdf (817.77 kB)
Download file

Global risk spillover and the predictability of sovereign credit default swap: An international evidence

Download (817.77 kB)
journal contribution
posted on 12.05.2022, 04:17 by Hai LinHai Lin, I Premachandra, H Roberts, S Srivastava
© 2015 Elsevier Inc. Using an error correction model, we document strong evidence of Granger causality in mean from the S&P option market to the sovereign CDS market in 98% of the 56 sovereigns we investigate. Tests under conditional heteroskedasticity provide further evidence of the risk spillover effect from the S&P index option market to the CDS market in mean, variance, and value-at-risk. The strong spillover effect during the recent financial crisis implies that global shocks first affect the S&P option market and then spill over to the sovereign CDS market. We demonstrate that our results are quite robust.

History

Preferred citation

Lin, H., Premachandra, I., Roberts, H. & Srivastava, S. (2012). Global risk spillover and the predictability of sovereign credit default swap: An international evidence. International Review of Economics and Finance, 41, 1-33. https://doi.org/10.1016/j.iref.2015.10.047

Journal title

International Review of Economics and Finance

Volume

41

Publication date

01/01/2012

Pagination

1-33

Publisher

Elsevier BV

Publication status

Published

ISSN

1059-0560

eISSN

1873-8036

Language

en