Abstract

http://ssrn.com/abstract=2472386
 


 



Short Interest and Credit Spread Dynamics


Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

July 26, 2014


Abstract:     
This study examines the dynamics between short interest and credit spread. Based on the analysis of monthly data from 1931M6 to 2012M12, the results show that credit spread significantly jumps following the shock to the NYSE short-interest ratio. The Granger causality Wald test indicates a causal linkage between credit spread and NYSE short-interest ratio. The findings provide important implications for investment and risk management. The findings allow investors and risk managers to forecast credit spread movement by observing short interest in the equity market.

Keywords: short interest ratio, credit spread, VAR

JEL Classification: G12, G14

working papers series





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Date posted: July 27, 2014  

Suggested Citation

Sum, Vichet, Short Interest and Credit Spread Dynamics (July 26, 2014). Available at SSRN: http://ssrn.com/abstract=2472386

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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