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dc.contributor.authorEhlers, Stefanen
dc.contributor.authorGürtler, Marcen
dc.contributor.authorOlboeter, Svenen
dc.date.accessioned2012-02-09-
dc.date.accessioned2012-02-10T15:38:25Z-
dc.date.available2012-02-10T15:38:25Z-
dc.date.issued2010-
dc.identifier.pidoi:10.2139/ssrn.1585132en
dc.identifier.urihttp://hdl.handle.net/10419/55227-
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
dc.language.isogeren
dc.publisher|aTechnische Universität Braunschweig, Institut für Finanzwirtschaft |cBraunschweigen
dc.relation.ispartofseries|aWorking Paper Series |xIF34V1en
dc.subject.jelG14en
dc.subject.jelG15en
dc.subject.jelG17en
dc.subject.ddc330en
dc.subject.keywordGranger-causality, iTraxx Indices, Credit Default Swaps, Day-of-the-Week-Effect, Feedback Systemen
dc.titleFinancial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices-
dc.typeWorking Paperen
dc.identifier.ppn68498623Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tbsifw:IF34V1en

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