دانلود رایگان مقاله انگلیسی وابستگی صریح سهام و انگیزش بین بازار بورس و اعتبار صنعت ایالات متحده آمریکا - الزویر 2018

abstract

This paper examines the dependence and causal nexuses between ten U.S. credit default swaps and their corresponding stock sectoral markets, using the Quantile-on-Quantile (QQ) approach and the nonparametric causality-in-quantiles tests. The results, using the QQ approach, show asymmetric negative association between credit and markets for all industries and that the link depends on both the sign and size of the stock market shocks (i.e., bullish or bearish conditions in the CDS and/or stock markets). The sensitivity of CDS returns to stock markets shocks is higher in the extreme quantiles. Using the nonparametric causality-in-quantile tests, we find evidence of causality-in-mean from stock to CDS only for the Financial (in average and upper quantiles), Consumer Services and Oil & Gas sectors (only for the middle quantile i.e., 0.5). In addition, the causality-in-mean from the CDS to stock markets is only found for the Financial and Telecommunication sectors in the extreme lower quantiles. Finally, we find a bidirectional Granger causality-invariance for all the CDS-equity sector pairs.

Conclusions

The CDS-stock market nexus has attracted a great deal of attention following the GFC and ESDC as this connection between these markets reflects almost all financial and economic activities. Note that the notional value of the global CDS market grew from $6 trillion in 2004 to $24 trillion in 2013--and peaked at a level of $58 trillion just prior to the financial crisis (Bank for International Settlements).8 Nonetheless, the CDS spreads of the major US and European banks evidently increased after July 2007 when the S&P issued a credit watch alert for mortgage-backed securities (Ballester et al., 2016; Yu, 2017). The collapse of the Lehman Brothers on September 15, 2008, has also drawn the attention of all global financial markets, and the sovereign credit risk in particular has become a serious concern for many countries. This paper examines the extreme the connection between the U.S. CDS and stock sectoral markets over the daily period 2007–2014. For a deeper analysis, we focus on the connection at the sectoral level in order to provide useful information for portfolio managers and policy makers, using the quantile distributions to serve the interests of all market participants including speculators (money managers, hedge funds, market makers, etc.) and long term investors (institutional investors such as pension funds, banks, etc.) who may be disposed to work under different markets conditions.