金融海嘯主要事件對信用違約交換之影響

Impacts on Credit Default Swaps by Major Events of Financial Crisis

全球金融海嘯引起廣泛的違約事件及經濟衰退，而信用衍生性商品近年來在財金市場扮演重要的角色，兩者的關係對金融市場的了解是重要的。本文以事件研究法與橫斷面迴歸探討金融海嘯的主要重大事件對信用違約交換（Credit Default Swaps）價差的影響。結果發現，信用違約交換價差清楚反應了相關事件，且對負面消息之反應較正面消息迅速。同時，金融產業之信用違約交換具有事前反應能力，能預測重大信用違約事件的發生。最後，金融產業信用違約交換之反應，對於金融海嘯具有傳染效果，而對於其他非金融產業的信用違約交換，則於金融海嘯初期具有競爭效果，但隨即轉變為傳染效果。傳染與競爭效果的程度會受到產業相似程度而有所影響，且會因產業和公司的特性不同，而有所差異。

The recent financial crisis initiated from the subprime mortgage incident has resulted with series of credit default events and global economic recession. Credit derivatives have become a key financial product in capital market. The relationship between the two is significant to academics and industries in understanding dynamics of financial market. This study explores the impacts on Credit Default Swaps (CDS) from key events of financial crisis with method of event study and cross-sectional regression. The empirical findings show that shocks of CDS spread significantly coincide with major credit events, and the magnitudes of shocks are greater for negative events than for positive events. The CDS spreads of financial industry jump prior to event occurrences, and the outcome suggest that trends of CDS spread can be used to predict major credit defaults. The reactions among CDS spreads have significant positive contagion effects for financial industry and, only in the beginning of crisis, negative competitive effects for non-financial industry. When series of credit events continue, such competitive effects turn into contagion effects, and the levels of impacts vary with similarities among industries. The magnitudes of the contagion effects also change across samples with different firm characteristics.