A study on the relationship of stock market index price, foreign exchange rate, and interest rate swap (IRS) rate to sovereign credit default swap spreads (CDS) of Vietnam, Indonesia and Philippines (VIP) for the years 2007-2011
Date of Publication
2013
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Commerce Major in Management of Financial Institutions
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Leonardo B. Araneta
Defense Panel Chair
Kashmirr Ibanez
Defense Panel Member
Christian Nero Porlas
Nawawi Tago
Abstract/Summary
This study examined the relationship between the independent variables, namely, the stock market index price, foreign exchange rate, and interest rate swap (IRS) rates, with the dependent variable, the sovereign CDS spreads, of countries Vietnam, Indonesia, and Philippines for the years 2007-2011 using the Pearson's correlation coefficient model and the Johansen's cointegration rank test. The least-squares dummy variable (LSDV) model was used to determine the significance of the independent variables to the movements of the CDS spreads for each country in the five-year time period in assessing the default risk of a country. Based on the results of the Pearson's correlation, only the IRS rate of the Philippines did not follow the a-priori expectation however, since correlation only measures the short run relationship, it does not determine the long run relationship so, cointegration was used. As for the Johansen's cointegration rank test, only the Philippine stock market price, USD/PHP foreign exchange rate and Ho Chi Minh stock market index price were cointegrated with their respective CDS spreads. All of the explanatory variables contribute a significant effect to the movement of the CDS spreads as shown by the LSDV model however, the time dummies were found to be insignificant.
Abstract Format
html
Language
English
Format
Accession Number
TU17238
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
198 leaves : illustrations
Keywords
Stocks--Prices; Foreign exchange rates; Interest rate swaps
Recommended Citation
Castro, C. P., Nocon, K. H., Ochavo, G. Z., & Umali, K. A. (2013). A study on the relationship of stock market index price, foreign exchange rate, and interest rate swap (IRS) rate to sovereign credit default swap spreads (CDS) of Vietnam, Indonesia and Philippines (VIP) for the years 2007-2011. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/18534
