Anlyzing the U. S. credit default swap (CDS) markets : efficiency, interdependence, contagion, causal flows and asymmetric determinants

Abstract

The Credit Default Swap (CDS) with its unique characteristic to transfer credit risk has gained considerable attention especially after the financial crises of 2007-08. Extant literature has given less focus to CDS and the pivotal research areas such as efficiency, interdependence, contagion, causal-flows between credit and stock markets and determinants of credit markets are relatively untapped.