Abstract:Purpose: In this paper I investigate the information fl ow between the credit default swap market and the stock market as well as insider trading in the credit default swap market.
Methodology:For my analysis I use the event study methodology. Using the event study methodology I calculate abnormal stock returns and abnormal credit default swap premium changes. The analysis is based on 175,874 observations collected for 92 companies between the years 2001 and 2010.
Findings:The results show that the information… Show more
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