Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index
Purpose- The prime objective of this study was to find the co-movement between the Canadian credit default swaps market, the Stock market and volatility index (TSX 60 Index) Design/ Methodology- To achieve this purpose, daily data containing 2870 observations starting from the 1st of January 2009...
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Seisense
2020-05-01
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| Series: | SEISENSE Journal of Management |
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| Online Access: | https://journal.seisense.com/jom/article/view/353 |
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| author | Ramzan Ali Usman Ullah Butt Muhammad Musa Khan Muhammad Shaheer Farhan Abbas Zaidi |
| author_facet | Ramzan Ali Usman Ullah Butt Muhammad Musa Khan Muhammad Shaheer Farhan Abbas Zaidi |
| author_sort | Ramzan Ali |
| collection | DOAJ |
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Purpose- The prime objective of this study was to find the co-movement between the Canadian credit default swaps market, the Stock market and volatility index (TSX 60 Index)
Design/ Methodology- To achieve this purpose, daily data containing 2870 observations starting from the 1st of January 2009 to the 30th of December 2019 were analyzed. This study employed the wavelet approach to present results in short-term, medium-term, long-term, and very long time.
Findings- The findings of this study showed a negative correlation between the CDS market, stock market, and the TSX 60 index in the short-term as well as in the long-term term, while in medium-term and very long-term period correlation is strongly positive. The wavelet co-movement results in the short-term and long-term were negative, while this relationship in the medium-term and very long-term period was strongly positive.
Practical Implications- This research provides simultaneous valuable information for investment decisions in the short, medium, and long term time horizons, as well as for the policymakers in the Canadian credit default swaps market, stock market, and the volatility index (TSX 60 Index).
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| format | Article |
| id | doaj-art-ae8e5654bf9b4c3681e27f49e07d73bf |
| institution | OA Journals |
| issn | 2617-5770 |
| language | English |
| publishDate | 2020-05-01 |
| publisher | Seisense |
| record_format | Article |
| series | SEISENSE Journal of Management |
| spelling | doaj-art-ae8e5654bf9b4c3681e27f49e07d73bf2025-08-20T02:23:55ZengSeisenseSEISENSE Journal of Management2617-57702020-05-013310.33215/sjom.v3i3.353Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility IndexRamzan Ali0https://orcid.org/0000-0001-7268-7954Usman Ullah Butt1Muhammad Musa Khan2Muhammad Shaheer3Farhan Abbas Zaidi4School of Accounting and Finance, The University of Lahore, PakistanDepartment of Management Sciences, Superior University, Lahore, PakistanDepartment of Management Sciences, Superior University, Lahore, PakistanUniversiti Utara, MalaysiaSchool of Accounting and Finance, The University of Lahore, Pakistan Purpose- The prime objective of this study was to find the co-movement between the Canadian credit default swaps market, the Stock market and volatility index (TSX 60 Index) Design/ Methodology- To achieve this purpose, daily data containing 2870 observations starting from the 1st of January 2009 to the 30th of December 2019 were analyzed. This study employed the wavelet approach to present results in short-term, medium-term, long-term, and very long time. Findings- The findings of this study showed a negative correlation between the CDS market, stock market, and the TSX 60 index in the short-term as well as in the long-term term, while in medium-term and very long-term period correlation is strongly positive. The wavelet co-movement results in the short-term and long-term were negative, while this relationship in the medium-term and very long-term period was strongly positive. Practical Implications- This research provides simultaneous valuable information for investment decisions in the short, medium, and long term time horizons, as well as for the policymakers in the Canadian credit default swaps market, stock market, and the volatility index (TSX 60 Index). https://journal.seisense.com/jom/article/view/353covariancewavelet analysistime-seriesco-movementcanadastock market |
| spellingShingle | Ramzan Ali Usman Ullah Butt Muhammad Musa Khan Muhammad Shaheer Farhan Abbas Zaidi Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index SEISENSE Journal of Management covariance wavelet analysis time-series co-movement canada stock market |
| title | Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index |
| title_full | Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index |
| title_fullStr | Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index |
| title_full_unstemmed | Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index |
| title_short | Empirical Evidence of Co-Movement between the Canadian CDS, Stock Market And TSX 60 Volatility Index |
| title_sort | empirical evidence of co movement between the canadian cds stock market and tsx 60 volatility index |
| topic | covariance wavelet analysis time-series co-movement canada stock market |
| url | https://journal.seisense.com/jom/article/view/353 |
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