The bullwhip effect and credit default swap market: A study based on firm-specific bullwhip effect measure |
| |
| Affiliation: | 1. Xi''an Jiaotong University, China;2. University of Wisconsin at Eau Claire, United States;3. California State University, United States;1. Finance at Wilfrid Laurier University, 75 University Avenue West, Waterloo, Ontario N2L 3C5, Canada;2. Finance at Lille University, IAE Lille, 104 avenue du Peuple Belge, 59043 Lille, France;3. Finance at the School of Management, CDPQ Research Chair in Portfolio Management, Université du Québec à Montréal, Department of Finance, 315 Rue Sainte-Catherine Est, Montréal, Québec H2X 3X2, Canada;1. School of Finance and Accounting, Fuzhou University of International Studies and Trade, China;2. DeGroote School of Business, McMaster University, Canada;3. Xiamen National Accounting Institute, China;4. School of Management, Xiamen University, China;1. School of Statistics, Dongbei University of Finance and Economics, Dalian 116025, China;2. College of Business Administration, University of Akron, Akron 44325, OH, United States;3. School of Economics and Management, Dalian University of Technology, Dalian 116024, China;4. Department of Finance, Performance & Marketing, Teesside University International Business School, Teesside University, Middlesbrough, TS1 3BX, Tees Valley, United Kingdom;1. School of Statistics and Mathematics, Shandong University of Finance and Economics, Jinan, China;2. School of Urban and Regional Science, Shanghai University of Finance and Economics, Shanghai, China;3. Department of Applied Finance, Macquarie University, Sydney, Australia;4. School of Geography, Earth and Environmental Sciences, University of Birmingham, Birmingham, UK |
| |
| Abstract: | This paper explores the financial implications of the bullwhip effect in the credit default swap (CDS) market. Using firms' supply chain hierarchical positions to proxy for exposure to the bullwhip effect and CDS positions data, we find that positions further upstream within the supply chain network are associated with more CDS positions with economically significant magnitudes, suggesting that investors employ CDS contracts to hedge against the financial risk of underlying firms that are exposed to a greater bullwhip effect. The positive impact of the bullwhip effect on CDS positions is more pronounced for firms with greater information uncertainty. Our results hold after we control for sample selection bias, rule out an industry-level bullwhip effect, mitigate the effect of hedging demand for accounts payable and debt exposure, and remove the influence of risk pooling, exposure to productivity shocks, and the financial crisis. This study contributes to both the supply chain management and finance literature. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
