Good and bad credit contagion: Evidence from credit default swaps

• 成果类型: Article
• 署名作者: Jorion, Philippe; Zhang, Gaiyan
• 署名单位: University of California System; University of California Irvine; University of Missouri System; University of Missouri Saint Louis
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.06.001
• 发表日期: 2007
• 页码: 860-883
• 关键词: Credit default swaps; bankruptcy; contagion; Market reaction; event study

摘要

This study examines the intra-industry information transfer effect of credit events, as captured in the credit default swaps (CDS) and stock markets. Positive correlations across CDS spreads imply that contagion effects dominate, whereas negative correlations indicate competition effects. We find strong evidence of contagion effects for Chapter 11 bankruptcies and competition effects for Chapter 7 bankruptcies. We also introduce a purely unanticipated event, in the form of a large jump in a company's CDS spread, and find that this leads to the strongest evidence of credit contagion across the industry. These results have important implications for the construction of portfolios with credit-sensitive instruments. (c) 2007 Elsevier B.V. All rights reserved.