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Title:Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices PDF Logo
Authors:Ehlers, Stefan
Gürtler, Marc
Olboeter, Sven
Issue Date:2010
Series/Report no.:Working papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF34V1
Abstract:This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the background of our study this lead-lag-relationship strengthens when moving from the non-crisis- to the crisisscenario on a daily as well as on a weekly basis. Hence, we conclude that information transfer from stock to CDS markets widens during the financial crisis. In addition and in contrast to the literature we find an extraordinary day-of-the-week-effect on weekly returns as an anomaly for information processing.
Subjects:Granger-causality, iTraxx Indices, Credit Default Swaps, Day-of-the-Week-Effect, Feedback System
JEL:G14
G15
G17
Persistent Identifier of the first edition:doi:10.2139/ssrn.1585132
Document Type:Working Paper
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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