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dc.contributor.authorEhlers, Stefanen_US
dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorOlboeter, Svenen_US
dc.description.abstractThis 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.en_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF34V1en_US
dc.subject.keywordGranger-causality, iTraxx Indices, Credit Default Swaps, Day-of-the-Week-Effect, Feedback Systemen_US
dc.titleFinancial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indicesen_US
dc.typeWorking Paperen_US
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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