Are the Sovereign CDS Premia Sound Estimators of the Stock Market Returns? Evidence from the Eurozone || ¿Son las primas CDS estimadores sólidos de los rendimientos del mercado de valores? Evidencia de la Eurozona

Are the Sovereign CDS Premia Sound Estimators of the Stock Market Returns? Evidence from the Eurozone || ¿Son las primas CDS estimadores sólidos de los rendimientos del mercado de valores? Evidencia de la Eurozona

In this paper, we explore the interconnection and existing relationships between the Sovereign Credit Default Swaps (henceforth, CDS) and the stock markets of the main European countries. Thus, the goal of this paper is to test if the CDS premia can predict the stock market returns of the most relev...

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Bibliographic Details
Main Authors: Navarrete Wic, Ana, Di Pietro, Filippo, Martín Marín, José Luis
Format: Article
Language:English
Published: Universidad Pablo de Olavide 2018-06-01
Series:Revista de Métodos Cuantitativos para la Economía y la Empresa
Subjects:
CDS premia
stock market index return
Granger causality test
Eurozone
primas CDS
rendimiento de índices de mercado
test de causalidad de Granger
eurozona
Online Access:https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2668/2715

Internet

https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2668/2715

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