신용부도스와프 지수와 주가지수를 이용한 정보체계에 대한 고찰
A study on the relationship among major CDS Indices and relevant equity market Indices
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초록
본 분석을 위해, 2007년 10월 1일부터 2020년 5월 30일까지의 아시아 신용부도스와프 지수상품(ACDSI), Hang Seng Index, 유럽 신용부도스와프 지수상품(ECDSI), EURO STOXX 50지수, 미국 신용부도스와프 지수상품(UCDSI), S&P 500 지수를 바탕으로, 대륙 간 정보전달 메커니즘을 규명하고, 권역별 CDS지수들과 해당 대표 주가지수 간의 정보이전 효과를 검정하였다. 실증검정을 위해서, VAR 모형, GARCH(1,1)-M 모형을 사용하였다. 본 연구의 결과는 다음과 같다. 첫째, ACDSI, ECDSI 및 UCDSI간의 상호작용으로 인한 정보이전 효과가 유의미하게 성립하였다. 둘째, 각 지역별 시장의 ACDSI, ECDSI 및 UCDSI와 대표적인 주가지수인 HSI, EURO STOXX 50, S&P 500은 서로에 대해 정보이전 효과를 보였다. 셋째, ACDSI, ECDSI 및 UCDSI 간의 상호반응과 이들 CDS지수들과 같은 역내의 대표 주가지수들인 HSI, EURO STOXX 50, S&P 500간의 상호반응 방향성은 각 시장적인 특성에 따라 다른 모습을 보여주었다. 이는 아시아, 유럽, 미국의 신용시장 및 주식시장의 특성과 상대적인 경제규모의 차이 등에 따른 다양한 요인들이 반영된 결과인 것으로 추론된다.
Abstract
This study is to analyze symmetric and asymmetric information spill over impact among major Credit Default Swap(CDS) indices and relevant equity market indices in Asia, Europe and United States. For the analysis, this study is based on the daily closing prices and quotes of iTraxx ex-Japan Asia(ACDSI), Hang Seng Index(HSI), iTraxx Euro CDSI (ECDSI), EURO STOXX 50 index (EURO STOXX 50), CDX IG CDSI (UCDSI), S&P 500 index (S&P 500) for the period of October 1, 2007 and May 30, 2020. As for analytics, VAR, GARCH(1.1)-M and GJR-GARCH(1.1)-M models were used. The findings are as follows. First, there are valid evidence for symmetric information spillover among ACDSI, ECDSI and UCDSI. Second, in each regions, ACDSI, ECDSI and UCDSI proved to have meaningful information spillover impact on HSI, EURO STOXX 50 and S&P 500, respectively, and vice versa. Also, the study shows they played as meaningful leading indicators to each other. Third, the study shows that there are different reaction points or direction of information spillovers in each regional CDS indices and the relevant equity indices, demonstrating there are diverse factors affecting the relevant equity markets and CDS markets depending on the breadth and depth of the liquidity, size of the economies and different characteristics.
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