Abstract

http://ssrn.com/abstract=2378040
 


 



U.S. Credit Spread and Global Stock Markets


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

January 12, 2014


Abstract:     
Based theoretically and empirically on the international transmission and spill-over, this study is set up to examine how returns on three groups (developed, emerging and frontier) of global stock markets respond to the U.S. credit spread shock. The Granger-causality is computed to determine the causal linkage between the U.S. credit spread and returns on the global stock market. The generalized impulse response functions and variance decomposition are also estimated.

Keywords: credit spread, global stock markets

JEL Classification: G12, G14

working papers series


Not Available For Download

Date posted: January 12, 2014  

Suggested Citation

Sum, Vichet, U.S. Credit Spread and Global Stock Markets (January 12, 2014). Available at SSRN: http://ssrn.com/abstract=2378040

Contact Information

Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
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