Spillovers among sovereign CDS, stock and commodity markets in Asia

This paper examines spillover among sovereign CDS, stock market and commodity market as single system by measuring the spillover index based on generalized Vector Autoregressive model and forecast error-variance decomposition using data between 2008-2020. Our findings show the U.S. stock dominates as contributor of spillover whereas developed Asian markets like Japan and South Korea have less significant contribution to the system. However, major Asian have larger influence in sovereign CDS market while Japan hold the highest net receiver for both sovereign CDS and stock market.