Determinants of CDS in Core and Peripheral European Countries: A Comparative Study During Crisis and Calm Periods

S Haddou - The North American Journal of Economics and Finance, 2024 - Elsevier
The objective of this paper is twofold. First, it aims to investigate the nexus between
sovereign CDS spreads and its drivers, including behavioral drivers, during the different …

Price discovery in euro area sovereign credit markets and the ban on naked CDS

J Gyntelberg, P Hördahl, K Ters, J Urban - Journal of Banking & Finance, 2018 - Elsevier
The sovereign debt crisis in the euro area saw credit spreads on sovereign bonds and credit
default swaps (CDS) surge for a number of member states. The rise in sovereign yields was …

Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?

R Buse, M Schienle, J Urban - Journal of International Economics, 2022 - Elsevier
We study the impact of changes in regulations and policy interventions on systemic risk
among European sovereign entities measured as volatility spillovers in credit risk markets …

Sovereign bond and CDS market contagion: A story from the Eurozone crisis

G Bampinas, T Panagiotidis, PN Politsidis - Journal of International Money …, 2023 - Elsevier
We examine the asymmetric and nonlinear nature of the cross-and intra-market linkages of
eleven EMU sovereign bond and CDS markets during 2006–2018. By adopting the excess …

Short selling disclosure and its impact on CDS spreads

D Lleshaj, J Kocian - The European Journal of Finance, 2021 - Taylor & Francis
The European Union introduced Regulation 236/2012 in 2012 to address short selling and
certain aspects of credit default swaps (CDS). Consequently, a uniform short position …

Central clearing and CDS market quality

P Pereira da Silva, C Vieira… - Journal of Futures Markets, 2018 - Wiley Online Library
This paper contributes to the literature on the impact of central clearing on financial market
quality. Focusing on the CDS market, a difference‐in‐differences analysis is performed to …

Why do investors buy sovereign default insurance?

P Augustin, V Sokolovski, MG Subrahmanyam - 2016 - econstor.eu
We provide a comprehensive analysis of the determinants of trading in the sovereign credit
default swaps (CDS) market, using weekly data for single-name sovereign CDS from …

Price Discovery in Euro Area Sovereign Credit Markets: Evidence from the GIIPS Countries 10 Years After the Implementation of the Ban on Naked Short Selling of …

S Häusler, K Ters - Finance in Crises: Financial Management Under …, 2024 - Springer
We analyze the price discovery process between credit spreads and credit default swaps
(CDS) of sovereign credit risk in GIIPS countries (Greece, Ireland, Italy, Portugal, and Spain) …

[PDF][PDF] Extracting Liquidity Risk Factors by Credit Default Swap Quotation and Corporate Bond Yield: An Experimental Investigation

CY Yeh, C Ren-Raw, BH Lin… - Tai Da Guan Li …, 2022 - review.management.ntu.edu.tw
This paper employs two kinds of data. One is Credit Default Swap (CDS) market quotations
in the United States; the other is the corporate bond yield data matched with related CDS …

Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis

R Buse, M Schienle, J Urban - 2019 - papers.ssrn.com
We study the impact of changes in regulations and policy interventions on systemic risk
among European sovereign entities measured as volatility spillovers in respective credit risk …