The dynamics of sovereign credit default swap and bond markets of Philippines, Indonesia, Malaysia and Thailand from the period 2009-2012

Date of Publication

2014

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science 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

Tomas Tiu

Defense Panel Member

Patrick Caoile

Patricia Benito

Krisitne Lagdameo

Kenneth Yumang

Abstract/Summary

This paper examined the dynamics of sovereign credit default swap and bond markets of Philippines, Indonesia, Malaysia, and Thailand. In theory, both markets showed a no-arbitage relationship, but the spillover effect was also considered to be one of the dynamics for the relationship of CDS and bonds. The researchers discovered that there is long run equilibrium relationship between CDS prices and bond prices derived from the CDS and bond market of all the countries tested across time. The test used for testing the long run relationship was the Johansen cointegration test. In the case of testing for short run relationship between the variables, the test used was the vector error correction model. The result was CDS prices and bond prices also have short run relationship. Furthermore, the Johansen cointegration test and VECM model were also used to determine which market leads the other in price discovery. As it turned out, the CDS market was the one following the bond market for Philippines, Indonesia, Malaysia, and Thailand, and so bond market leads in the price discovery process according to the results.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21712

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

130 leaves : illustrations (some color) ; 29 cm.

Keywords

Bond market--Philippines; Bond market-- Indonesia; Bond market--Malaysia; Bond market-- Thailand; Credit--Philippines; Credit--Indonesia; Credit--Malaysia; Credit--Thailand

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