Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/15261
Title: The effects of stock market and interest rates on credit default swaps.
Authors: Leong, Phooi Teng.
Tan, Saw Hoon.
Tan, Zi Ying.
Keywords: DRNTU::Business::Finance::Derivatives
Issue Date: 2009
Abstract: 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.
URI: http://hdl.handle.net/10356/15261
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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