Impact Of The Ban On Uncovered sCDS Trade On The Interdependencies Between The CDS Market And Other Sectors Of Financial Markets. The Case Of Safe And Developed Versus Risky And Developing European Markets

Agata Kliber

doi:10.1515/cer-2016-0005

Autor

Agata Kliber Poznan University of Economics, Faculty of Informatics and Electronic Economy, Department of Applied Mathematics

DOI:

https://doi.org/10.1515/cer-2016-0005

Słowa kluczowe:

sovereign CDS, obligacje, kursy walutowe, indeksy giełdowe, zmienność, kryzys finansowy

Abstrakt

Celem artykułu było zbadanie wpływu zakazu handlu „nagimi” kontraktami CDS na rynku europejskim na zmianę powiązań między rynkiem tych kontraktów a innymi segmentami rynku finansowego. W artykule wzięliśmy pod uwagę dwie gospodarki europejskie: bezpieczną i rozwiniętą (Szwecja) oraz ryzykowną i rozwijającą się (Węgry). Badanie dotyczyło okresu 2008–2013 oraz rynków: giełdowego, obligacji i kursowego. W przypadku Szwecji zależności okazały się mniej silne niż w przypadku Węgier, co sugeruje, że Węgry są bardziej podatne na przenoszenie się kryzysów na skutek zachowań stadnych, czy ataków spekulacyjnych. W przypadku obu krajów siła powiązań między rynkami znacznie osłabła od momentu wprowadzania nowych regulacji.

Pobrania

Brak dostępnych danych do wyświetlenia.

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