臺灣博碩士論文加值系統

CDS(信用風險)可以對市場風險提供有效的保護措施，且同時它也是個領先指標，但只有法人、自營商及外國自營商才可以從CDS市場獲得資訊和避險。為了確認在財務管理中，有關於效率市場、資產訂價和風險管理的資訊具有重要的意涵，本研究檢驗資訊和信用風險之間的關係，使用PIN(probability of informed trading)和股票交易量來當作其資訊的代理變數，而信用風險則以CDS來代替，如此可以讓市場投資人捕捉到在投資市場中的資訊代理變數。此研究結果得以顯示PIN(probability of informed trading) 可在CDS市場中為顯著的資訊因子，可為顯著的資訊交易替代因子，同時也是領先因子。並且，透過兩階段回歸探討內生性問題之下，再一次驗證本研究結果的一致性。

CDS offers protection against downside risk and conducts the leading information signal. However, some corporations, dealers and foreign investment institutions can acquire the key information and avoid risk from CDS market not every market participants. To identify the information associated with market efficiency, asset price and risk management has important implication in financial management for public investment market, this paper takes a new look at the relationship between credit quality and information based trading activity by using information proxies PIN (probability of informed-trading) and volume. The study finds that PIN can be the proxy of information and capture the direct impact on the investment market, thus the empirical study demonstrates PIN is the leading information factor in CDS market.

Ⅰ. Introduction 1
Ⅱ. Literature review 5
A. Informed-based trading 5
B. The information proxies of Volume and PIN 6
C. Credit default swap 7
Ⅲ. Methodology 9
A. Unit root test 11
B. VAR (vector autoregressive model) 11
C. Two-stage least square 13
Ⅳ. Data 14
Ⅴ. Empirical results 16
A. Summary statistics 17
B. Empirical results from VAR (vector autoregressive model) 26
C. Empirical results from Two-stage least square 32
Ⅵ. Conclusion 34
Reference 37
Appendix A 69
Appendix B 73
Appendix C 77
Appendix D 81
Appendix E 85
Appendix F 89
Appendix G 97

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