Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation
نویسندگان
چکیده
We assess the efficiency of sovereign credit default swap (CDS) market by investigating how CDS spreads react to macroeconomic news announcements. Contrary vast majority existing literature, one our main findings supports hypothesis that announcements reduce uncertainty and, thus, both better- and worse-than-expected lower prices during sample period. In addition, we find respond differently four macroindicators across three different regions. Our might help investors in these areas interpret surprises macronews when making decisions markets.
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ژورنال
عنوان ژورنال: Complexity
سال: 2021
ISSN: ['1099-0526', '1076-2787']
DOI: https://doi.org/10.1155/2021/5568698