Asymmetric and nonlinear comovements of credit default swap and bond markets: evidence from an emerging market

• Semra Bank ^[1] ; Zehra Abdioğlu ^[1] ; Elif Kahraman ^[1]
  1. [1] Karadeniz Technical University

     Karadeniz Technical University

     Turquía

     
• Localización: Revista española de financiación y contabilidad, ISSN 0210-2412, Vol. 53, Nº 2, 2024, págs. 232-253
• Idioma: inglés
• DOI: 10.1080/02102412.2023.2218182
• Texto completo no disponible (Saber más ...)
• Resumen

  • This study examines the equilibrium and price discovery relationships between credit default swap (CDS) and bond markets through the symmetric and non-symmetric cointegration approaches, focusing on Turkish sovereign markets. While the findings, obtained using the threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) models, confirm the asymmetric and nonlinear cointegration relationship between CDS and bond markets described in a limited number of studies in the relevant literature, they also, in contrast to other relevant studies, reveal the importance of data frequency and structural breaks in price discovery research. In this context, the results show that the CDS market is the leader in price discovery in high-frequency data and after the first sub-period, and the bond market is the leader in price discovery in low-frequency data and before the first sub-period.

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