English  |  正體中文  |  简体中文  |  Items with full text/Total items : 43312/67235
Visitors : 2021277      Online Users : 3
RC Version 5.0 © Powered By DSPACE, MIT. Enhanced by NTU/NCHU Library IR team.
National Chung Hsing University Institutional Repository - NCHUIR > 管理學院 > 財務金融學系所 > 依資料類型分類 > 碩博士論文 >  CDS、股票、債券三個市場在信評及分析師推薦宣告前後的相對變化關係

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/107615

標題: CDS、股票、債券三個市場在信評及分析師推薦宣告前後的相對變化關係
The Relationships Among CDS Spreads, Stock Markets, Bond Yields, Credit Ratings and Analysts' Recommendations
作者: 許志麒
Hsu, Chih-Chi
Contributors: 紀志毅;吳勝景
Chi Chih-Yi;Sheng-Ching Wu
林月能
Lin Yueh-Neng
中興大學
關鍵字: CDS
信用違約交換;分析師評等
日期: 2011
Issue Date: 2012-09-04 15:07:41 (UTC+8)
Publisher: 財務金融系所
摘要: 本篇論文目的在於研究CDS、債券、股票、信評機構、股票分析師這五個市場之間的關連性。由於剛剛經歷了金融海嘯,我們選擇研究這個期間內這五市場相對變化關係。實證結果發現股票市場在於事件日對於提升評等會有正報酬,對於降低評等則有負報酬。至於CDS市場則是在事件日之前就會提早反應,而且提升評等會有負報酬、降低評等有正報酬。這不但符合直覺而且也證實了CDS市場相較於其他市場具有更多內部資訊。CDS市場早在評等被改變前就會提早反應這些資訊。至於債券市場,我們實證發現似乎與分析師及信評機構的評等改變是沒有太大的關連性的。
This paper is aimed to explore the relationships among credit default swap (CDS) markets, stock markets, bond markets, rating agency and analysts‟ recommendations over the past three years. After financial crisis, it is interesting for study the relate changes with each markets when credit ratings or analysts‟ recommendations announced. We show that in event day stock market will have significant positive returns with upgrades and significant negative returns with downgrades, the CDS market will response the revision before the event day and have significant positive returns with downgrades after announce day. This is consistent with our assumption that CDS market includes more internal information. As for the bond market seem to be unrelated with analysts‟ recommendation revisions.
Appears in Collections:[依資料類型分類] 碩博士論文

Files in This Item:

File SizeFormat
index.html0KbHTML416View/Open


 


學術資源

著作權聲明

本網站為收錄中興大學學術著作及學術產出,已積極向著作權人取得全文授權,並盡力防止侵害著作權人之權益。如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員,將盡速為您處理。

本網站之數位內容為國立中興大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用。

聯絡網站維護人員:wyhuang@nchu.edu.tw,04-22840290 # 412。

DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU/NCHU Library IR team Copyright ©   - Feedback