股票市場、選擇權市場與信用違約交換市場相關性研究

Abstract

源自於美國次級房貸的金融風暴，自2007年起逐步成型，致使過去兩年多來，全球經濟遭受重大傷害，景氣陷入嚴重衰退。本文以此次之金融風暴作為研究期間，以美國金融市場為研究對象，研究樣本取自S&P 500指數之標的對象，以日資料分析同一公司在股票市場的股價、在選擇權市場的隱含波動率、以及在信用違約交換市場的信用利差三者之間的領先落後關係。 實證結果顯示，選擇權市場在三市場中較具有領先地位，其次為股票市場，亦對信用違約交換市場較具有領先性。然而研究也發現不同產業對於市場間關聯程度具有差異性，整體而言，受金融風暴影響愈重的產業，不同市場間的緊密程度，會更高於受影響較輕的產業，特別在選擇權市場與信用違約交換市場間，共整合關係明顯較高，而在Granger因果關係檢定中，選擇權市場與信用違約交換市場亦皆對股票市場有更高的影響力。

This paper investigated the relationship between stock, options and credit default swaps (CDS) markets during the subprime mortgage crisis. The data applied to the firms included in the S&P 500 index in the U.S. Using daily data, the study examined the lead-lag relationship between stock prices, implied volatilities of options, and CDS spreads. Most of the data showed that options markets led both stock and CDS markets while the stock markets led to CDS markets. However, concerning different industries, it showed that the more a industry harmed in the subprime mortgage crisis, the more a closer relationship between the three markets in the industry. When the industry met a great decline in financial markets, the options and CDS markets especially exhibited higher relevance in cointegration analysis and became more dominant to stock markets in Granger causality test.