The Role of Credit Default Swaps in the Korean Stock Market

• 발행기관: 한국자료분석학회
• 저자명: 강상훈(Sang Hoon Kang)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.18 No.1, 59~70쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2016.02.28

영문 초록

This study investigated the role of credit default swaps (CDSs) as a hedge or safe haven asset against risk in the Korean stock market, including the KOSPI and five individual stocks (IBK, KEPCO, POSCO, Shinhan Bank and Samsung Electronics). To this end, this study applied the bivariate dynamic conditional correlation-fractional integrated generalized autoregressive conditional heteroskedasticity (DCC-FIGARCH) model to daily stock-CDS pairs for 2004-2014. The empirical results showed that CDSs serve as an effective hedge against risk in all individual stock indices. In addition, CDSs also play an important role as safe haven assets in times of extreme stock market volatility and during periods of financial crisis in the Korean stock market. These findings support the role of CDSs as strong hedges against risk in the Korean stock market. It seems that portfolio investors should purchase CDSs to protect against the risk of default (systematic) in the Korean stock market.

목차

1. Introduction

2. Empirical methodology

3. Data

4. Empirical results

5. Conclusions

References

키워드

credit default swaps hedge safe haven dynamic conditional correlation DCC-FIGARCH model