信用違約交換與股市的流動性聯動

Abstract

本篇論文主要透過CDS spread對股市的流動性外溢來討論信用違約交換與股市的流動性聯動。衡量股市流動性外溢的指標有股市的買賣價差、Amivest的不流動性比率、換手率與交易週期，衡量模型包括混合數據(pooled data)的OLS模型或聯合回歸模型(pooled regression model)、固定效應模型與隨機效應模型。實證結果顯示，在透過結構性變動的調整後，股市的流動性外溢確實對於CDS spread產生聯動關係，且結構性變動前後對CDS spread的影響程度不一，此結果可以讓我們在從事CDS spread的評價模式有更全面性的參考。 【關鍵字】信用違約交換、流動性外溢、聯合回歸模型 固定效應模型、隨機效應模型

This paper analyzes the relationship between CDS spread and the liquidity spillover. We conduct pooled regression model, fixed effects model and random effects model in our panel data. In order to capture the liquidity spillover from the stock market, we use bid-ask spread, Amivest illiquidity ratio, turnover rate, and trading period as proxies in our tests. We find substantial liquidity spillover from the stock market after the structural changes. These results provide a different information on CDS spread.