Not as Black as Is Painted? Influence of sCDS Market on Domestic Financial Markets Before and After the Ban on Naked sCDS Trade

Kliber, Agata

doi:10.1007/978-3-319-54885-2_2

Cited by 1 publication

(2 citation statements)

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“…The others were sovereign bonds and the stock exchange markets. This study extends the research by Kliber (2016) who analysed changes in the dynamic conditional correlation between sCDS and the domestic financial markets in Hungary and Sweden, as well as Kliber (2017).…”

Section: Introductionsupporting

confidence: 69%

“…First, we analyse the possible causality from sCDS market to other financial markets within a country, interpreting the results as the degree of immunity against volatility transmission or herd behaviour. Second, we analyse the role of the new regulations from November 2012 on the strength of those relationships, extending the study of Kliber (2016) and Kliber (2017), where the influence of the global factor had not been taken into account. We end our sample in 2013, i.e.…”

Section: Introductionmentioning

confidence: 99%

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The sovereign credit default swap market – is there anything to be afraid of? A comparison of selected central and western european economies

Kliber¹

2019

Argumenta Oeconomica

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The paper concentrates on the impact of sovereign CDS (sCDS) on other financial markets within a country, and tests whether the impact changed after imposing the ban on trade of the non-covered sCDS in Europe (November 2012). The European sCDS of Poland, Hungary, and the Czech Republic (emerging markets) as well as Sweden and the United Kingdom (developed markets) are analysed over the period of 2008-2013. We investigate the influence between the sCDS and the foreign exchange market, sCDS and sovereign bonds, as well as sCDS and stock exchanges. The results vary depending on the liquidity and maturity of the analysed markets, indicating that the Central European markets used to be more prone to sunspots and volatility transmission than the Western ones. The study suggests that in most cases the impact of the CDS on other financial markets diminished after November 2012 and that the markets of speculative investment grade contributed most to the ban.

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Section: Introductionsupporting

confidence: 69%

Section: Introductionmentioning

confidence: 99%