TY - UNPD A1 - Norden, Lars A1 - Weber, Martin T1 - The comovement of credit default swap, bond and stock markets: an empirical analysis T2 - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2004,20 N2 - This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period 2000-2002. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa. Third, the CDS market is significantly more sensitive to the stock market than the bond market and the magnitude of this sensitivity increases when credit quality becomes worse. Finally, the CDS market plays a more important role for price discovery than the corporate bond market. JEL Klassifikation: G10, G14, C32. T3 - CFS working paper series - 2004, 20 KW - Credit risk KW - Credit spreads KW - Credit derivatives KW - Lead-lag relationship KW - Swap KW - Kreditderivat KW - Kreditrisiko KW - Derivat, Wertpapier KW - Rentenmarkt KW - Aktienmarkt KW - Aktienbörse KW - Geschichte 2000-2002 Y1 - 2004 UR - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4412 UR - https://nbn-resolving.org/urn:nbn:de:hebis:30-10712 N1 - First version: March 29, 2004. This Version: September 2, 2004. IS - This Version: September 2, 2004 ER -