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dc.contributor.advisorRoberts, Helen
dc.contributor.authorMills, Luke Aaron
dc.date.available2014-03-25T22:04:16Z
dc.date.copyright2014
dc.identifier.citationMills, L. A. (2014). Price Discovery between Credit Default Swap and Foreign Exchange Markets: Unidirectional or Bidirectional Granger Causality? (Thesis, Master of Business). University of Otago. Retrieved from http://hdl.handle.net/10523/4724en
dc.identifier.urihttp://hdl.handle.net/10523/4724
dc.description.abstractThis thesis investigates Granger causality in mean, variance and downside risk between the corporate credit default swap (CDS) and foreign exchange markets. Using an error correction model, a vector autoregressive model, Hong’s (2001) and Hong, Liu and Wang’s (2009) tests, I document strong evidence of bidirectional Granger causality in mean and variance between the three CDS indices and 45 countries in the sample. The significance of the results is found to depend on the credit quality of the underlying CDS indices’ entities, with investment-grade CDS entities showing more significant Granger causality results than noninvestment- grade CDS entities. These results are found to be most significant post-global financial crisis. Furthermore, the significance of the Granger causality in mean results is found to rely on the choice of econometric model; Hong’s (2001) test is found to be the most significant, followed by an error correction model, and last a vector autoregressive model.
dc.language.isoen
dc.publisherUniversity of Otago
dc.rightsAll items in OUR Archive are provided for private study and research purposes and are protected by copyright with all rights reserved unless otherwise indicated.
dc.subjectGranger Causality
dc.subjectPrice Discovery
dc.subjectCredit Default Swap
dc.subjectForeign Exhange
dc.subjectInformation Transmission
dc.subjectVector Autoregressive
dc.subjectError Correction Model
dc.subjectValue at Risk
dc.titlePrice Discovery between Credit Default Swap and Foreign Exchange Markets: Unidirectional or Bidirectional Granger Causality?
dc.typeThesis
dc.date.updated2014-03-25T21:37:36Z
dc.language.rfc3066en
thesis.degree.disciplineAccountancy and Finance
thesis.degree.nameMaster of Business
thesis.degree.grantorUniversity of Otago
thesis.degree.levelMasters
otago.interloanno
otago.openaccessAbstract Only
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