The effects of stock market and interest rates on credit default swaps.
In this paper, we studied the effects of stock market and interest rates on credit default swaps (CDS), taking time series effect into consideration. Results showed substantial evidence that time series effect was distorting to our study. Without regarding time series effect, there were no consisten...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/15261 |
| _version_ | 1826117451765514240 |
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| author | Leong, Phooi Teng. Tan, Saw Hoon. Tan, Zi Ying. |
| author2 | Lee Hon Sing |
| author_facet | Lee Hon Sing Leong, Phooi Teng. Tan, Saw Hoon. Tan, Zi Ying. |
| author_sort | Leong, Phooi Teng. |
| collection | NTU |
| description | In this paper, we studied the effects of stock market and interest rates on credit default swaps (CDS), taking time series effect into consideration. Results showed substantial evidence that time series effect was distorting to our study. Without regarding time series effect, there were no consistent correlations amongst CDS and equity indices. On the contrary, with time series effect accounted for, there appeared a possible structural relationship amongst CDS and equity indices. On the explanatory power aspects, without regarding time series effect, the equity indices had lower explanatory power than T-bill rates on the CDS spreads. With time series effect accounted for, the explanatory power order was reversed. Lastly, we found that CDS indices categorized themselves into asset backed and non-asset backed based on their relation to different equity indices. However, with the time series effect accounted for, the CDS indices categorized themselves into U.S. market based and non U.S. market based instead. |
| first_indexed | 2024-10-01T04:27:29Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/15261 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T04:27:29Z |
| publishDate | 2009 |
| record_format | dspace |
| spelling | ntu-10356/152612023-05-19T06:16:14Z The effects of stock market and interest rates on credit default swaps. Leong, Phooi Teng. Tan, Saw Hoon. Tan, Zi Ying. Lee Hon Sing Nanyang Business School DRNTU::Business::Finance::Derivatives In this paper, we studied the effects of stock market and interest rates on credit default swaps (CDS), taking time series effect into consideration. Results showed substantial evidence that time series effect was distorting to our study. Without regarding time series effect, there were no consistent correlations amongst CDS and equity indices. On the contrary, with time series effect accounted for, there appeared a possible structural relationship amongst CDS and equity indices. On the explanatory power aspects, without regarding time series effect, the equity indices had lower explanatory power than T-bill rates on the CDS spreads. With time series effect accounted for, the explanatory power order was reversed. Lastly, we found that CDS indices categorized themselves into asset backed and non-asset backed based on their relation to different equity indices. However, with the time series effect accounted for, the CDS indices categorized themselves into U.S. market based and non U.S. market based instead. BUSINESS 2009-04-14T01:52:52Z 2009-04-14T01:52:52Z 2009 2009 Final Year Project (FYP) http://hdl.handle.net/10356/15261 en Nanyang Technological University 84 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Derivatives Leong, Phooi Teng. Tan, Saw Hoon. Tan, Zi Ying. The effects of stock market and interest rates on credit default swaps. |
| title | The effects of stock market and interest rates on credit default swaps. |
| title_full | The effects of stock market and interest rates on credit default swaps. |
| title_fullStr | The effects of stock market and interest rates on credit default swaps. |
| title_full_unstemmed | The effects of stock market and interest rates on credit default swaps. |
| title_short | The effects of stock market and interest rates on credit default swaps. |
| title_sort | effects of stock market and interest rates on credit default swaps |
| topic | DRNTU::Business::Finance::Derivatives |
| url | http://hdl.handle.net/10356/15261 |
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