U.S. Credit Spread and Global Stock Markets

Posted: 12 Jan 2014

See all articles by Vichet Sum

Vichet Sum

University of Maryland Eastern Shore - School of Business and Technology

Date Written: 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

Suggested Citation

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

Vichet Sum (Contact Author)

University of Maryland Eastern Shore - School of Business and Technology ( email )

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