Asymmetric information in the equity market and information flow from the equity market to the CDS market*

被引：4

作者：

Park, Heewoo ^{[1
]}

Kim, Tong Suk ^{[2
]}

Park, Yuen Jung ^{[3
]}

机构：

[1] Korea Insurance Res Inst, 38 Gukjegeumyung Ro 6 Gil, Seoul, South Korea

[2] Korea Adv Inst Sci & Technol, Coll Business, 85 Hoegiro, Seoul, South Korea

[3] Hallym Univ, Coll Business, Dept Finance, 1 Hallymdaehak Gil, Chunchon 24252, Gangwon Do, South Korea

来源：

JOURNAL OF FINANCIAL MARKETS | 2021年 / 55卷

关键词：

Information flow; CDS; Equity; Information environment; CREDIT DEFAULT SWAP; IDIOSYNCRATIC RISK; CROSS-SECTION; CONSUMER CONFIDENCE; STOCK MARKETS; SYNCHRONICITY; SENTIMENT; RETURNS; PRICES; R-2;

D O I：

10.1016/j.finmar.2020.100607

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate whether asymmetric information in the equity market affects the infor-mation flow from the equity market to the credit default swap (CDS) market. We find that the response to stock price changes is larger if they are more informative. Moreover, firms with a lower CDS bid-ask spread are associated with a more rapid response. Our results suggest that asymmetric information in the equity market mainly impacts cross-sectional differences in the total response of the CDS market. Our evidence indicates that this effect is amplified when sentiment-driven trading declines in the equity market or transaction costs are low in the CDS market. (c) 2020 Elsevier B.V. All rights reserved.

引用

页数：19

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