Essays on the information flow between equity and credit markets: Before, during and after the financial crisis

This thesis examines the information flow between equity, credit default swap (CDS) and bond markets between 2003 and 2017 using firm-level data for developed and emerging countries. The findings suggest that the information flow between financial markets is dependent on the market condition. The research demonstrates that the relationship between equity and credit markets has been restructured since the global financial crisis with more rapid adjustment of CDS market to equity market returns. The strength of interaction between equity and credit markets is found to be related to the creditworthiness of the concerned firms