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Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index

Purpose- The prime objective of this study was to find the co-movement between the Canadian credit default swaps market, the Stock market and volatility index (TSX 60 Index) Design/ Methodology- To achieve this purpose, daily data containing 2870 observations starting from the 1st of January 2009...

Ausführliche Beschreibung

Gespeichert in:
Hauptverfasser: Ramzan Ali, Usman Ullah Butt, Muhammad Musa Khan, Muhammad Shaheer, Farhan Abbas Zaidi
Format: Artigo
Sprache:Inglês
Veröffentlicht: Seisense 2020-05-01
Schriftenreihe:SEISENSE Journal of Management
Schlagworte:
covariance
wavelet analysis
time-series
co-movement
canada
stock market
Online-Zugang:https://journal.seisense.com/jom/article/view/353
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