Contagion: An empirical analysis on credit default swaps, their determinants and the impact of market announcements
I analyze the possible link of volatility of credit default swap indices (CDS) determinants from different geographical regions, and their effects on each other as a possible measure of contagion. Analysis of the European iTraxx index, the North American Dow Jones CDX index, and their respective determinants shows that determinants of CDS spreads in one region may have an effect on another region. Furthermore, using event study analyses to examine the response of the Euro-area (North-American) financial markets to American (European) credit ratings and policy announcements results shows that CDS markets are indeed responsive to international announcements.
Okolo-Isiekwe, Ifeyinwa Christopher, "Contagion: An empirical analysis on credit default swaps, their determinants and the impact of market announcements" (2011). ETD Collection for Fordham University. AAI3474134.