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

Agata Kliber

Abstract

In the article we analyze the impact of sovereign CDS on other financial market within a country and verify whether the impact changed after imposing the ban on trade of the non-covered sCDS in Europe (November 2012). We analyze European sCDS of both emerging as well as developed economies, who retained their own currencies, i.e. Poland, Hungary (emerging markets) and Sweden and United Kingdom (developed ones), over the period 2008–2013. We investigate the degree of influence between the sCDS and foreign exchange market, sCDS and sovereign bond, as well as sCDS and stock exchange ones. The results vary depending on the analyzed country, indicating clearly that the Central European markets are much prone to sunspots and volatility transmission than the Western ones. However, in general the results support the hypothesis that the impact of the CDS on the other financial markets diminished after November 2012.
Author Agata Kliber (WIiGE / KMS)
Agata Kliber,,
- Department of Applied Mathematics
Pages11-23
Publication size in sheets0.6
Book Jajuga Krzysztof, Orlowski Lucjan T., Staehr Karsten (eds.): Contemporary Trends and Challenges in Finance. Proceedings from the 2nd Wroclaw International Conference in Finance, Springer Proceedings in Business and Economics, 2017, Springer, ISBN 978-3-319-54884-5, [978-3-319-54885-2], 343 p., DOI:10.1007/978-3-319-54885-2
Keywords in Englishsovereign CDS, ban on naked CDS trade, sovereign bonds, foreign exchange, stock exchange
DOIDOI:10.1007/978-3-319-54885-2_2
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 08-04-2020, ChapterFromConference
Publication indicators WoS Citations = 0
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