Price discovery in euro area sovereign credit markets: Evidence from the GIIPS countries 10 years after the implementation of the ban on naked short selling of CDS
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Autor:innen
Autor:in (Körperschaft)
Publikationsdatum
2024
Typ der Arbeit
Studiengang
Sammlung
Typ
04A - Beitrag Sammelband
Herausgeber:innen
Herausgeber:in (Körperschaft)
Betreuer:in
Übergeordnetes Werk
Finance in crises. Financial management under uncertainty
Themenheft
DOI der Originalpublikation
Link
Reihe / Serie
Reihennummer
Jahrgang / Band
Ausgabe / Nummer
Seiten / Dauer
125-140
Patentnummer
Verlag / Herausgebende Institution
Springer
Verlagsort / Veranstaltungsort
Cham
Auflage
Version
Programmiersprache
Abtretungsempfänger:in
Praxispartner:in/Auftraggeber:in
Zusammenfassung
We analyze the price discovery process between credit spreads and credit default swaps (CDS) of sovereign credit risk in GIIPS countries (Greece, Ireland, Italy, Portugal, and Spain) as well as Germany and France after the implementation of the regulatory ban on outright short selling of sovereign CDS, implemented after the euro area sovereign debt crisis. Our findings show evidence, that the CDS market continues to be relevant for price discovery in euro area sovereign credit markets. However, unlike earlier studies with shorter sample periods, the bond market has been observed to incorporate information more rapidly than the CDS market for most countries in the sample. In the case of Ireland and Greece, both markets significantly contribute to the price discovery process, but the bond market in most countries exhibits faster adjustment dynamics. Our findings deviate from previous research with shorter sample periods after the introduction of the ban, which indicated CDS market leadership in price discovery for most markets. However, in our analysis, CDS leadership was observed only in Portugal and Spain, suggesting that further investigation is warranted to comprehend the evolving dynamics of the sovereign credit market.
One intriguing finding concerns the Italian credit market, where the implementation of the unconventional European Central Bank (ECB) monetary policy, specifically the Quantitative Easing (QE) program in January 2015, disrupted market functioning due to excessive liquidity. Consequently, the CDS and bond yield spreads in the Italian market were no longer cointegrated during that period.
Schlagwörter
Fachgebiet (DDC)
Veranstaltung
Startdatum der Ausstellung
Enddatum der Ausstellung
Startdatum der Konferenz
Enddatum der Konferenz
Datum der letzten Prüfung
ISBN
978-3-031-48071-3
978-3-031-48070-6
978-3-031-48070-6
ISSN
Sprache
Englisch
Während FHNW Zugehörigkeit erstellt
Ja
Zukunftsfelder FHNW
Publikationsstatus
Veröffentlicht
Begutachtung
Fachlektorat/Editorial Review
Open Access-Status
Closed
Lizenz
Zitation
Häusler, S., & Ters, K. (2024). Price discovery in euro area sovereign credit markets: Evidence from the GIIPS countries 10 years after the implementation of the ban on naked short selling of CDS. In T. Hüttche (Ed.), Finance in crises. Financial management under uncertainty (pp. 125–140). Springer. https://doi.org/10.1007/978-3-031-48071-3_9