股票市場行為與信用違約交換之關係

The Relationship between Stock Market Behavior and The Underlying Firms’ Credit Default Swaps

楊文曄(Wen-Yeh Yang)

指導教授 ： 黃宜侯

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

本篇論文藉由股票價格以及信用違約交換價差的關係探討股票市場以及信用市場的行為，其中包括197家美國上市公司以及1007個日資料。由於信用違約交換直接反應違約的風險，因此在文獻上認為其為估量信用風險有效的指標。經實證結果本文得到三個結論；第一，兩個市場之間存在著共整合關係，表示信用風險市場以及股票市場長期變動的一致；其次，經由granger因果檢定，可了解信用資訊傳遞的不一致且會由其中一個市場傳遞到另一個市場；最後，我們發現信用違約交換價差與股票價格的反向變動關係，可以證明股票市場會影響信用違約交換市場，反之亦然。投資人會同時考慮股票市場以及信用違約風險市場的交互關係。

關鍵字

信用違約交換 ； 信用價差 ； 股票價格

並列摘要

This paper investigates the empirical relation between stock market behavior and credit defaults swaps market, including 197 firms and 1007 time-series daily data. In the credit default swaps market, CDS reflect pure default-risk for bond issuer and no specific risk contained. Therefore, it is an “effective” benchmark to capture and price credit-risk. On the other hand, stock market is reflected by market-risk on these individual firms. However, there are no clear conclusions between stock and credit default swap market. In this paper, we find out the cointegrating among the two markets. This is possibly an indication of the long-run comovement between credit and equity market. Second, it exist a past and current relation between two markets through granger-causality test. In other words, firm-specific credit information is transferring from one market to the other. Finally, it is also found that positive (negative) CDS spread associate with negative (positive) stock price. The stock market behavior will affect CDS market and vice versa. It is said that players in both markets consider characteristics of both underlying products with interaction links.

並列關鍵字

credit default swaps ； credit spread ； stock price

參考文獻

Jarrow, Robert A., David Lando, and Stuart Turnbull, 1997, A Markov model for the term structure of credit spreads, Review of Financial Studies 10, 481–523.

Bee, M. 2004, Modelling credit default swap spreads by means of normal mixtures and copulas, Applied Mathematical Finance 11, 125–146

Black, F., and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-59

Blanco, Roberto, Simon Brennan, and Ian W. Marsh, 2003, An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps, Journal of Finance 60, 2255-2281

Bollerslev, T. 1986. Generalized Autoregressive Conditional Heteroscedasricity, Journal of Econometrics, 31, 307-327.