Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis

Author:

Calice Giovanni,Chen Jing,Williams Julian

Publisher

Elsevier BV

Subject

Organizational Behavior and Human Resource Management,Economics and Econometrics

Reference20 articles.

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2. Bystrom, H.N.E., 2005. Credit default swaps and equity prices: the iTraxx CDs index market. Technical Report 2005:24. Lund University Working Paper.

3. Calice, G., Chen, J., Williams, J. Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage. European Journal of Finance, Forthcoming.

4. Chen, J., Williams, J., Buckland, R., 2011. A tale of two market microstructures: spillovers of informed trading and liquidity for cross listed Chinese A and B shares. Article ID: 1755567. University of Aberdeen, Working Paper/SSRN.

5. Corporate yield spreads and bond liquidity;Chen;The Journal of Finance,2007

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