Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation
We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce m...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/5568698 |
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| _version_ | 1832561402392346624 |
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| author | Min Lu Michele Passariello Xing Wang |
| author_facet | Min Lu Michele Passariello Xing Wang |
| author_sort | Min Lu |
| collection | DOAJ |
| description | We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better- and worse-than-expected news lower CDS prices during our sample period. In addition, we find that CDS spreads respond differently to the four macroindicators across the three different regions. Our findings might help investors in these areas to interpret the surprises of macronews announcements when making decisions in CDS markets. |
| format | Article |
| id | doaj-art-01db5cdb5c3d446989a57991086322b5 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-01db5cdb5c3d446989a57991086322b52025-02-03T01:24:59ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/55686985568698Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical InvestigationMin Lu0Michele Passariello1Xing Wang2Nanjing Audit University, Nanjing, ChinaDurham University Business School, Durham, UKDurham University Business School, Durham, UKWe assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better- and worse-than-expected news lower CDS prices during our sample period. In addition, we find that CDS spreads respond differently to the four macroindicators across the three different regions. Our findings might help investors in these areas to interpret the surprises of macronews announcements when making decisions in CDS markets.http://dx.doi.org/10.1155/2021/5568698 |
| spellingShingle | Min Lu Michele Passariello Xing Wang Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation Complexity |
| title | Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation |
| title_full | Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation |
| title_fullStr | Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation |
| title_full_unstemmed | Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation |
| title_short | Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation |
| title_sort | sovereign cds premiums reaction to macroeconomic news an empirical investigation |
| url | http://dx.doi.org/10.1155/2021/5568698 |
| work_keys_str_mv | AT minlu sovereigncdspremiumsreactiontomacroeconomicnewsanempiricalinvestigation AT michelepassariello sovereigncdspremiumsreactiontomacroeconomicnewsanempiricalinvestigation AT xingwang sovereigncdspremiumsreactiontomacroeconomicnewsanempiricalinvestigation |