The Role of Sovereign Credit Default Swaps in Four Asian Stock Markets

APA 6th edition
In-text: (Kang & Yoon, 2018)
Your Bibliography: Kang, S.H. & Yoon, S. (2018). The Role of Sovereign Credit Default Swaps in Four Asian Stock Markets. International Journal of Environmental and Science Education, 13(6), 541-549.

Harvard
In-text: (Kang and Yoon, 2018)
Your Bibliography: Kang, S. and Yoon, S. (2018). The Role of Sovereign Credit Default Swaps in Four Asian Stock Markets. International Journal of Environmental and Science Education, 13(6), pp. 541-549.

Chicago 16th edition
In-text: (Kang and Yoon 2018)
Your Bibliography: Kang, Sang Hoon and Seong-Min Yoon (2018). "The Role of Sovereign Credit Default Swaps in Four Asian Stock Markets". International Journal of Environmental and Science Education 13 (6):541-549.

Abstract

We investigated the role of sovereign credit default swaps as a hedge against or safe haven under conditions of risk according to the Asian Morgan Stanley Capital Index (MSCI) for China, Korea, Malaysia, and Thailand. To this end, we applied the bivariate DCC-GARCH model to daily CDS–MSCI pair data for 2002–2014. The empirical results showed that CDSs serve as an effective hedge against risk in four Asian stock markets. In addition, CDSs also play an important role as safe havens in times of extreme stock market volatility and during periods of financial crisis.

Keywords: credit default swaps, hedge, safe haven, dynamic conditional correlation

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