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The Relationship Between CDS Spreads And Equities Market Volume and Volatility With Respect to Credit Events For Single-Name CDS within CDX.NA.IG Index

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Title: The Relationship Between CDS Spreads And Equities Market Volume and Volatility With Respect to Credit Events For Single-Name CDS within CDX.NA.IG Index
Author: Hafer, Shane
Advisor: Dnes, Anthony W.
Department: Haverford College. Dept. of Economics
Type: Thesis (B.A.)
Running Time: 775858 bytes
Issue Date: 2008
Abstract: The foremost objective of this study is to determine what, if any, is the correlation between an individual firm’s credit default swap spread and their stock price. The CDS market is currently unregulated and often trades on what has been dubbed “insider information”. Therefore, movement in CDS spreads can often be seen before an announcement becomes public information. Trading that occurs prior to a credit rating announcement is a perfect example of imperfect information within the markets. This paper analyzes the relationship between CDS spreads and corresponding stock prices over a six-month period, looking specifically at abnormal movements in intraday basis point spreads.
Subject: Credit ratings
Subject: Insider trading in securities
Terms of Use: http://creativecommons.org/licenses/by-nc/3.0/us/
Permanent URL: http://hdl.handle.net/10066/1447

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Citation

Hafer, Shane. "The Relationship Between CDS Spreads And Equities Market Volume and Volatility With Respect to Credit Events For Single-Name CDS within CDX.NA.IG Index". 2008. Available electronically from http://hdl.handle.net/10066/1447.

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http://creativecommons.org/licenses/by-nc/3.0/us/ Except where otherwise noted, this item's license is described as http://creativecommons.org/licenses/by-nc/3.0/us/

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