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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 洪茂蔚(Mao-Wei Hung) | |
| dc.contributor.author | Shih-Hao Huang | en |
| dc.contributor.author | 黃仕豪 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:59:46Z | - |
| dc.date.copyright | 2009-06-30 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-06-24 | |
| dc.identifier.citation | 中文部分
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/26079 | - |
| dc.description.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 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:59:46Z (GMT). No. of bitstreams: 1 ntu-98-R96724087-1.pdf: 1449945 bytes, checksum: 3234ac0b234d9f52ed49113cc65000a7 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 口試委員會審定書…i
誌謝…ii 中文摘要…iii 英文摘要…iv 目錄…v 圖目錄…vii 表目錄…viii 目錄 第一章 緒論…1 第一節 研究背景…1 第二節 研究動機為目的…2 第三節 研究架構…3 第二章 文獻回顧…4 第一節 CDS市場簡介…4 第二節 信用違約風險與CDS spread…5 第三節 評價模型…6 第四節 流動性…8 第五節 市場聯動…12 第三章 研究方法…14 第一節 實證模型…14 第二節 單根檢定…20 第三節 結構性變動…21 第四章 實證研究…22 第一節 資料敘述…22 第二節 實證結果探討…23 第五章 結論…25 參考文獻…43 圖目錄 圖 2.2.1 信用違約交換各期之現金流…5 圖 4.1.1 樣本平均CDS spread…28 圖 4.1.2 樣本平均CDS買賣價差…28 圖 4.1.3 樣本平均股市買賣價差…29 圖 4.1.4 樣本平均週轉率…29 圖 4.2.1 Quandt-Andrews檢定(2002/1/1~2008/12/31)…36 圖 4.2.2 Quandt-Andrews檢定(2004/10/22~2008/12/31)…36 表目錄 表2.1.1 信用衍生性商品市場參與者…26 表 4.1.1 研究樣本(股票代號/公司名稱)…27 表 4.1.2 研究樣本統計資料表…30 表 4.1.3 研究樣本相關係數矩陣…31 表 4.2.1 CDS spread單根檢定(2002/1/1~2004/10/21)…32 表 4.2.2 Leverage單根檢定(2002/1/1~2004/10/21)…32 表 4.2.3 OIV單根檢定(2002/1/1~2004/10/21)…32 表 4.2.4 dLn(ME)單根檢定(2002/1/1~2004/10/21)…32 表 4.2.5 CDS-BAS單根檢定(2002/1/1~2004/10/21)…32 表 4.2.6 BAS單根檢定(2002/1/1~2004/10/21)…33 表 4.2.7 AmRatio單根檢定(2002/1/1~2004/10/21)…33 表 4.2.8 Turnover單根檢定(2002/1/1~2004/10/21)…33 表 4.2.9 TradePeriod單根檢定(2002/1/1~2004/10/21)…33 表 4.2.10 CDS spread單根檢定(2004/10/22~2007/8/28)…34 表 4.2.11 Leverage單根檢定(2004/10/22~2007/8/28)…34 表 4.2.12 OIV單根檢定(2004/10/22~2007/8/28)…34 表 4.2.13 dLn(ME)單根檢定(2004/10/22~2007/8/28)…34 表 4.2.14 CDS-BAS單根檢定(2004/10/22~2007/8/28)…34 表 4.2.15 BAS單根檢定(2004/10/22~2007/8/28)…35 表 4.2.16 AmRatio單根檢定(2004/10/22~2007/8/28)…35 表 4.2.17 Turnover單根檢定(2004/10/22~2007/8/28)…35 表 4.2.18 TradePeriod單根檢定(2004/10/22~2007/8/28)…35 表 4.2.19 混合數據OLS(2002/1/1~2004/10/21)與Hausman檢驗…37 表 4.2.20 固定效應模型(2002/1/1~2004/10/21)…38 表 4.2.21 隨機效應模型(2002/1/1~2004/10/21)…39 表 4.2.22 混合數據OLS(2004/10/22~2007/8/28)與Hausman檢驗…40 表 4.2.23 固定效應模型(2004/10/22~2007/8/28)…41 表 4.2.24 隨機效應模型(2004/10/22~2007/8/28)…42 | |
| dc.language.iso | zh-TW | |
| dc.subject | 流動性外溢 | zh_TW |
| dc.subject | 隨機效應模型 | zh_TW |
| dc.subject | 固定效應模型 | zh_TW |
| dc.subject | 聯合回歸模型 | zh_TW |
| dc.subject | 信用違約交換 | zh_TW |
| dc.subject | pooled regression model | en |
| dc.subject | random effects model | en |
| dc.subject | fixed effects model | en |
| dc.subject | credit default swap | en |
| dc.subject | liquidity spillover | en |
| dc.title | 信用違約交換與股市的流動性聯動 | zh_TW |
| dc.title | Liquidity Spillover from Stock Market to CDS market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳思寬(Shi-Kuan Chen),葉疏(Yeh Shu) | |
| dc.subject.keyword | 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, | zh_TW |
| dc.subject.keyword | credit default swap,liquidity spillover,pooled regression model,fixed effects model,random effects model, | en |
| dc.relation.page | 45 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2009-06-24 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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