Changes in Volatility of Credit Spread and Market Efficiency During Rapid Growth of Credit Related Securities

Autor:	Jun Wang, Christopher Hessel
Rok vydání:	2006
Předmět:	Yield spread Corporate debt Bond Mean reversion Economics Market efficiency Monetary economics Volatility (finance) Treasury
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.929125
Popis:	This paper investigates the change of the credit spread volatility from 1993 to 2001. We find that credit spreads between junk grade corporate bonds and Treasury bond are significantly more volatile in the second half of this period when credit related securities become popular. However credit spreads between investment-grade corporate debt and Treasury are not significantly more volatile. For the period prior to the introduction of credit related securities, credit spread changes followed mean reverting processes. In the period with rapid growth of these new products, the credit spread changes shifted toward random walk processes. The loss of the mean reverting process with the advent of the new securities is consistent with increased market efficiency.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::21f894eb221b2b28a23c649fca7347b8 https://doi.org/10.2139/ssrn.929125 Zobrazit plný text záznamu