Journal
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
Volume 30, Issue -, Pages 18-25Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.irfa.2013.05.001
Keywords
Credit default swaps; Dynamic conditional correlation; Stock sector; Hedge; Safe haven
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This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock market sectors from 2004 to 2011. Tests of GARCH dynamic conditional correlation coefficients indicate that CDS serve as an effective hedge against risk in all stock sectors. CDS also provide a safe haven in times of extreme stock market volatility and during periods of financial crisis in a limited number of sectors. (C) 2013 Elsevier Inc. All rights reserved.
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