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Determinants of Credit Default Swap Spreads: A Four-Market Panel Data Analysis
Matthew C. Li1; Xiaoqing (Maggie) Fu2
2017
Source PublicationJournal of Finance and Economics
ISSN2291-4951 2291-496X
Volume5Issue:1Pages:9-31
Abstract

This paper attempts to elucidate whether firm performance and macroeconomic conditions play a significant role in explaining credit default swap (CDS) spreads. Our panel dataset covers 112 reference entities in four markets (South Korea, Hong Kong, France, and Germany) for the period 2001-12. Overall, our results suggest that market value indicators (Tobin’s Q, stock market returns, and the interest rate) appear to be more important than book value indicators (i.e., ROA, ROE, and the GDP growth rate) in determining CDS spreads. Moreover, Asian CDS markets are shown to be more sensitive to both GDP and stock market volatility, than the two European markets. Finally, the 2007-09 global financial crisis may have significantly affected the CDS market as a whole, but it generally did not affect the individual markets. These results are robust to various model specifications. This paper contributes to the understanding of CDS determinants at firm-, economy-, and market-level.

KeywordCredit Default Swaps Structural Models Firm Performance Macroeconomic Conditions Financial Crisis Garch Volatility
DOI10.12735/jfe.v5n1p09
URLView the original
Language英语
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Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorMatthew C. Li
Affiliation1.School of Management, Royal Holloway University of London, UK
2.Faculty of Business Administration, University of Macau, Taipa, Macau
Recommended Citation
GB/T 7714
Matthew C. Li,Xiaoqing . Determinants of Credit Default Swap Spreads: A Four-Market Panel Data Analysis[J]. Journal of Finance and Economics,2017,5(1):9-31.
APA Matthew C. Li,&Xiaoqing .(2017).Determinants of Credit Default Swap Spreads: A Four-Market Panel Data Analysis.Journal of Finance and Economics,5(1),9-31.
MLA Matthew C. Li,et al."Determinants of Credit Default Swap Spreads: A Four-Market Panel Data Analysis".Journal of Finance and Economics 5.1(2017):9-31.
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