演講摘要 : This paper determines which market among credit default swap (CDS) market, corporate bond market and equity market is the main of rum where price discovery occurs. When credit risk becomes an important issue in the financial market, most securities are traded under credit risk consideration. It is interesting to find out where the credit risk information embeds in most. This paper takes CDS prices, credit spreads and adjusted credit spreads from structural model as proxies for the price of commodities in these three markets, then uses vector error correction model to investigate which market has the most credit risk information. The result shows that credit derivative market contributes more information when the entities have higher rating and equity market contributes more when the entities have lower rating.
