The Study of Relationship between Stock, Options, and Credit Default Swaps Markets

• Main Authors: Li-Yang Lin, 林理揚
• Other Authors: 洪茂蔚
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/73880960473706891541

碩士 === 臺灣大學 === 國際企業學研究所 === 98 === 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.