کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964150 | 930483 | 2009 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Price discovery of subordinated credit spreads for Japanese mega-banks: Evidence from bond and credit default swap markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper investigates the determinants and dynamics of subordinated credit spreads for Japanese mega-banks using the bond and credit default swap (CDS) spreads. The main findings are as follows. Subordinated bond and CDS spreads are cointegrated in most cases, and the CDS spread plays a more dominant role in price discovery than the bond spread. In addition, there are significant volatility spillovers from the CDS to bond spread. This information leadership for the CDS spread can largely be explained by stronger reactions of the CDS spread to some financial market variables and bank-specific accounting variables than the bond spread.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 19, Issue 4, October 2009, Pages 616-632
Journal: Journal of International Financial Markets, Institutions and Money - Volume 19, Issue 4, October 2009, Pages 616-632
نویسندگان
Naohiko Baba, Masakazu Inada,