摘要：
This paper examines the information flow between equity, bond and credit default swap (CDS) markets using firm level returns data before and after the global financial crisis for emerging countries. We find that the relationship between equity and credit markets has been restructured since the financial crisis, and the information flow between financial markets is dependent on the market condition. The equity market is found to be the most efficient market, while the bond market is the most forecastable market among the three. The information efficiency of the CDS market increases during financial crisis, and there is a bidirectional linkage between equity and CDS markets over the entire sample period. The degree of market integration is negatively associated with a firm’s credit worthiness, and low-grade firms tend to have a higher level of market integration.
主讲人：
王若霖，昆士兰科技大学经济学博士，昆士兰大学国际经济与金融学硕士，浙江工商大学国际商学院助理教授。主要研究领域为：信用违约互换(CDS)、价格发现机制、市场效率、资产定价、银行同业利率等。曾在昆士兰科技大学担任助教，现为昆士兰科技大学访问学者。
时间：2021年12月09日14:00-15:00
地点：综合楼741