Regime dependent causality : equity and credit markets

Bhar, Ramaprasad, Colwell, David B. and Wang, Peipei 2012, Regime dependent causality : equity and credit markets, International journal of financial markets and derivatives, vol. 3, no. 1, pp. 36-44.

Attached Files
Name Description MIMEType Size Downloads

Title Regime dependent causality : equity and credit markets
Author(s) Bhar, Ramaprasad
Colwell, David B.
Wang, PeipeiORCID iD for Wang, Peipei
Journal name International journal of financial markets and derivatives
Volume number 3
Issue number 1
Start page 36
End page 44
Total pages 9
Publisher Inderscience Publishers
Place of publication Olney, England
Publication date 2012
ISSN 1756-7130
Keyword(s) regime dependence
credit default swaps
CDS options
implied volatility
credit markets
Markov switching model
stock market volatility
Summary We apply a Markov switching model to investigate the possibility of an asymmetric causal relationship between the volatility process inferred from the iTraxx CDS options market and the implied volatility from the stock index options market. We find strong evidence that the stock market leads the CDS market and the effect of the implied stock market volatility is more significant during the volatile regime. We also find that a large jump in the stock return, up or down, may indeed be followed by a regime shift.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 0 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 485 Abstract Views, 2 File Downloads  -  Detailed Statistics
Created: Fri, 31 May 2013, 17:28:34 EST by Aysun Alpyurek

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact