RT Journal Article SR Electronic T1 Are the U.S. Stock Market and Credit Default Swap Market Related? JF The Journal of Alternative Investments FD Institutional Investor Journals SP 43 OP 61 DO 10.3905/jai.2008.708849 VO 11 IS 1 A1 Hung-Gay Fung A1 Gregory E. Sierra A1 Jot Yau A1 Gaiyan Zhang YR 2008 UL https://pm-research.com/content/11/1/43.abstract AB This article examines the market-wide relations between the U.S. stock market and the credit default swap (CDS) market for the period 2001–2007. Results indicate that the lead-lag relationship between the U.S. stock market and the CDS market depends on the credit quality of the underlying reference entity. Specifically, this article finds significant mutual feedback of information between the stock market and the high-yield CDS market in terms of pricing and volatility, while the stock market leads the investment-grade CDS index in the pricing process. The CDS market seems to play a more significant role in volatility spillover than the stock market. That is, volatilities of both the investment-grade and high-yield CDS indices seem to lead the stock market volatility, while the latter has a feedback effect to that of the high-yield CDS market only. Overall, the implication is that market participants should seek information in both markets when they are about to engage in trading and/or hedgingTOPICS: Security analysis and valuation, credit default swaps, financial crises and financial market history, credit risk management