Stock Liquidity as a Determinant of Credit Default Swap Spreads
This research investigates the effect of stock liquidity on credit default swap spreads. The relationship between stock liquidity and CDS spreads is tested empirically using a panel data of 82 companies spanning a period of 64 months. To ensure the accuracy of our findings, we use three proxies for stock liquidity, namely the bid-ask spread, Amihud illiquidity measure and the turnover ratio. When