{"id":"https://openalex.org/W1971768340","doi":"https://doi.org/10.1108/15587890980000414","title":"On the Relationship Between Asian Credit Default Swap and Equity Markets","display_name":"On the Relationship Between Asian Credit Default Swap and Equity Markets","publication_year":2009,"publication_date":"2009-10-16","ids":{"openalex":"https://openalex.org/W1971768340","doi":"https://doi.org/10.1108/15587890980000414","mag":"1971768340"},"language":"en","primary_location":{"id":"doi:10.1108/15587890980000414","doi":"https://doi.org/10.1108/15587890980000414","is_oa":false,"landing_page_url":"https://doi.org/10.1108/15587890980000414","pdf_url":null,"source":{"id":"https://openalex.org/S202264103","display_name":"Journal of Asia Business Studies","issn_l":"1558-7894","issn":["1558-7894","1559-2243"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asia Business Studies","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5040708596","display_name":"Kam C. Chan","orcid":"https://orcid.org/0000-0003-4657-1485","observed_orcids":["https://orcid.org/0000-0003-4657-1485"]},"institutions":[{"id":"https://openalex.org/I94339441","display_name":"Western Kentucky University","ror":"https://ror.org/0446vnd56","country_code":"US","type":"education","lineage":["https://openalex.org/I94339441"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Kam C. Chan","raw_affiliation_strings":["Western Kentucky University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Western Kentucky University","institution_ids":["https://openalex.org/I94339441"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5073018327","display_name":"Hung\u2010Gay Fung","orcid":"https://orcid.org/0000-0001-9346-6288","observed_orcids":["https://orcid.org/0000-0001-9346-6288"]},"institutions":[{"id":"https://openalex.org/I208333798","display_name":"University of Missouri\u2013St. Louis","ror":"https://ror.org/037cnag11","country_code":"US","type":"education","lineage":["https://openalex.org/I208333798"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Hung\u2010Gay Fung","raw_affiliation_strings":["University of Missouri\u2013St. Louis"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Missouri\u2013St. Louis","institution_ids":["https://openalex.org/I208333798"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5085778824","display_name":"Gaiyan Zhang","orcid":"https://orcid.org/0000-0001-6055-7079","observed_orcids":["https://orcid.org/0000-0001-6055-7079"]},"institutions":[{"id":"https://openalex.org/I208333798","display_name":"University of Missouri\u2013St. Louis","ror":"https://ror.org/037cnag11","country_code":"US","type":"education","lineage":["https://openalex.org/I208333798"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Gaiyan Zhang","raw_affiliation_strings":["University of Missouri\u2013St. Louis"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Missouri\u2013St. Louis","institution_ids":["https://openalex.org/I208333798"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.6909,"has_fulltext":false,"cited_by_count":54,"citation_normalized_percentile":{"value":0.89028288,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"4","issue":"1","first_page":"3","last_page":"12"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-default-swaps","display_name":"credit default swaps","score":0.8460000157356262},{"id":"https://openalex.org/keywords/sovereign-cds-spreads","display_name":"sovereign CDS spreads","score":0.890999972820282},{"id":"https://openalex.org/keywords/stock-prices","display_name":"stock prices","score":0.8980000019073486},{"id":"https://openalex.org/keywords/merton-model","display_name":"Merton model","score":0.8190000057220459},{"id":"https://openalex.org/keywords/capital-structure-arbitrage","display_name":"capital structure arbitrage","score":0.9399999976158142},{"id":"https://openalex.org/keywords/price-discovery","display_name":"price discovery","score":0.9959999918937683},{"id":"https://openalex.org/keywords/market-frictions","display_name":"market frictions","score":0.6880000233650208},{"id":"https://openalex.org/keywords/feedback-effects","display_name":"feedback effects","score":0.48899999260902405}],"concepts":[{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.6719960570335388},{"id":"https://openalex.org/C39658296","wikidata":"https://www.wikidata.org/wiki/Q7242611","display_name":"Price discovery","level":3,"score":0.602535605430603},{"id":"https://openalex.org/C2777174672","wikidata":"https://www.wikidata.org/wiki/Q7571616","display_name":"Sovereign credit","level":4,"score":0.5934572219848633},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.5677241086959839},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5578107237815857},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5338941812515259},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5254534482955933},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.5003800392150879},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4476911425590515},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4297488331794739},{"id":"https://openalex.org/C138170105","wikidata":"https://www.wikidata.org/wiki/Q1337949","display_name":"Issuer","level":2,"score":0.4285505414009094},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.42299267649650574},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.3450337052345276},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.25751447677612305},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1844419240951538},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.1352187693119049},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1108/15587890980000414","doi":"https://doi.org/10.1108/15587890980000414","is_oa":false,"landing_page_url":"https://doi.org/10.1108/15587890980000414","pdf_url":null,"source":{"id":"https://openalex.org/S202264103","display_name":"Journal of Asia Business Studies","issn_l":"1558-7894","issn":["1558-7894","1559-2243"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319811","host_organization_name":"Emerald Publishing Limited","host_organization_lineage":["https://openalex.org/P4310319811"],"host_organization_lineage_names":["Emerald Publishing Limited"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Asia Business Studies","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.550000011920929}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W370623774","https://openalex.org/W1684540946","https://openalex.org/W1974707445","https://openalex.org/W2016087196","https://openalex.org/W2017849448","https://openalex.org/W2023662631","https://openalex.org/W2052902288","https://openalex.org/W2110603299","https://openalex.org/W2130660952","https://openalex.org/W2153900362","https://openalex.org/W2161286290","https://openalex.org/W2606985126","https://openalex.org/W2991695108","https://openalex.org/W3020893572","https://openalex.org/W3121328583","https://openalex.org/W3122785467","https://openalex.org/W3123699647","https://openalex.org/W4251871181","https://openalex.org/W4253239325"],"related_works":["https://openalex.org/W1782990836","https://openalex.org/W217692226","https://openalex.org/W2468015341","https://openalex.org/W3122465917","https://openalex.org/W1983953310","https://openalex.org/W2551029754","https://openalex.org/W1987747591","https://openalex.org/W2755850835","https://openalex.org/W3005795961","https://openalex.org/W2218764512"],"abstract_inverted_index":{"When":[0],"extended":[1],"to":[2,69],"sovereign":[3,14,53],"issuers,":[4],"the":[5,34,39,49,64,79,83,138],"Merton\u2010type":[6],"structural":[7],"model":[8,114],"suggests":[9],"a":[10,74,124,148],"negative":[11,76],"relationship":[12,51,94],"between":[13,52,78],"credit":[15],"default":[16],"swap":[17],"(CDS)":[18],"spreads":[19,55],"and":[20,38,42,56,82,100,113,154],"stock":[21,40,57,84,145],"prices.":[22],"In":[23,116],"practice,":[24],"capital":[25],"structure":[26],"arbitrage":[27],"that":[28],"exploits":[29],"such":[30],"relationships":[31],"should":[32,136],"foster":[33],"integration":[35,104],"of":[36,118,130],"CDS":[37,54,80,121,139],"market":[41,111,140,146],"improve":[43],"price":[44,93,119,156],"discovery.":[45],"This":[46],"paper":[47],"studies":[48],"dynamic":[50],"prices":[58],"for":[59,63,86,97,141,151,158],"seven":[60,131],"Asian":[61,88],"countries":[62,107,153],"period":[65],"from":[66,110],"January":[67],"2001":[68],"February":[70],"2007.":[71],"We":[72],"find":[73],"strong":[75],"correlation":[77],"spread":[81],"index":[85],"most":[87],"countries.":[89,132],"A":[90],"long\u2010run":[91],"equilibrium":[92],"is":[95],"found":[96],"China,":[98],"Korea,":[99],"Thailand.":[101],"The":[102,144],"limited":[103],"in":[105,127],"other":[106],"may":[108],"arise":[109],"frictions":[112],"applicability.":[115],"terms":[117],"discovery,":[120],"markets":[122],"play":[123],"leading":[125],"role":[126],"five":[128],"out":[129],"Therefore,":[133],"equity":[134],"investors":[135],"span":[137],"incremental":[142],"information.":[143],"has":[147],"feedback":[149],"effect":[150],"two":[152],"dominates":[155],"discovery":[157],"only":[159],"one":[160],"country.":[161]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":9},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":2}],"updated_date":"2026-08-12T21:12:35.861297","created_date":"2016-06-24T00:00:00"}
