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  • 學位論文

信用違約交換與股票市場之關聯: 因子模型應用

Relationship between Credit Default Swaps and Equity Market: A Factor Model Approach

指導教授 : 黃宜侯

摘要


在過去的文獻中,學者都是使用原始的股價報酬來探討信用違約交換與股票市場之關係,但股價報酬包含市場風險、信用風險及其他像是作業風險,故實證研究無法分辨出兩個市場之間的關聯程度是受到市場風險的影響或是信用風險所致。本篇提出,先利用因子模型來控制市場風險,再用估計出來的股價報酬和異常報酬進而解釋信用違約交換價差。實證結果顯示,在控制市場風險後,剩餘的風險可提升對信用違約交換價差的價格發現能力。研究樣本共有197 家,期間為2004年一月至2008 年十二月。

並列摘要


Recent empirical researches analyze the relationship between credit default swaps (CDS) and equity market by using historical stock returns which contain market risk, credit risk, and other risks such as operational risk. Prior studies are not able to document that the relationship between the two markets while differentiating impacts of market risk or credit risks. This research employs factor models to mainly control market risk and then use the estimated values of stock returns and abnormal returns to explain pricing dynamics of CDS. The main conclusion reveals that comparing with historical stock returns, the returns net of market risk factors for equity markets strengthen the price discovery of CDS. The balanced-panel sample contains 197 individual corporations with period starts January 2004 and ends December 2008.

參考文獻


Jarrow, R.A., D. Lando, and S.M. Turnbull, 1997, “A Markov Model for the Term Structure of Credit Risk Spreads”, Review of Financial Studies, 10, 481-523.
Abid, F., and N. Naifar, 2006, “The Determinants of Credit Default Swap Rates: An Explanatory Study”, International Journal of Theoretical and Applied Finance, 9 , 23-42.
Benkert, C., 2004, “Explaining Credit Default Swap Premia”, Journal of Futures Markets, 24, 71–92.
Berndt, A., and A. Ostrovnaya, 2007, “Information Flow between Credit Default Swap, Option and Equity Markets”, Working Paper.
Black, F., and J. Cox, 1976,” Valuing corporate securities: Some effects of bond indenture provisions”, Journal of Finance, 31, 351-367.

被引用紀錄


李佳容(2010)。溪頭自然教育園區解說牌服務成效評估之研究〔碩士論文,國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU.2010.00620

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