摘要
姓名：陈亚茹 学号：34020051300910
TEL：13950101625 E –MAIL：chen_yaru@
主导师：林海 导师组成员：郑鸣、陈蓉
信用违约互换买卖价差的流动性因素探究
Liquidity Component in the Bid-Ask Spread of Credit Default Swaps
陈亚茹
Chen Yaru
主导师：林海
Chair advisor: Lin Hai
摘要
信用违约互换（Credit Default Swaps，CDS）自其产生来就超越其他任何金融创新以惊人的速度发展。即便如此，由于信用违约互换的面额较大且市场参与者主要为大的金融机构，使得其流动性自其产生以来就是投资者关注的问题。不对称信息是投资者对信用违约互换市场的另一个担忧，然而一些实证文献表明信用违约互换市场的不对称信息并没有像人们认为的存在严重的负面影响。买卖价差常被用作流动性和不对称信息的代理变量。本文旨在对信用违约互换的买卖价差的流动性因素进行探究。Tan和Yan[1]表明信用违约互换的流动性与债券市场的流动性息息相关。文章首先实证表明了信用违约互换的买卖价差能够解释信用违约互换的溢价，在此基础上采用债券年龄，债券发行在外数量，债券距到期日的时间，债券日零收益的比例以及债券的Amihud非流动性指标来衡量债券的流动性及其与信用违约互换市场流动性之间的关系。文章进一步肯定了债券市场和信用违约互换市场存在着紧密的联系，其流动性相互影响。整体而言，信用违约互换的流动性与债券市场的流动性负相关，但是他们之间的关系并非线性的；并且，资信评级会使得两者的关系反向。然而，由于数据的局限，未能控制不对称信息的影响，一些实证结果并不是很显著，这是继续研究的一个方向。
关键词：信用违约互换；买卖价差；流动性
Abstract
The pace at which the credit default swaps (CDS) has been growing since its inception topped all projections. Despite the rapid growth, there is still room for enhancement of liquidity in the CDS market, which is probably due to the high entry obstacle of CDS market. Information asymmetry is another concern of investors in CDS market, however, some literature addressed that information asymmetry may not inversely affect the CDS market as serious as regarded. Bid-ask spread is commonly used as a proxy of liquidity as well as a proxy of asymmetric information. The study aim at the liquidity component in the CDS bid-ask spread. Tan and Yan[1] showed that the liquidity of CDS and the liquidity of bond are closely correlated. The study empirically confirms that CDS bid-ask spread has explanatory power to CDS premium. Use bond age, bond amount, bond time-to-maturity, proportion of zero returns, and Amihud illiquid measure as the liquidity measures of bond, we then explore the relationships between the liquidity of CDS and the liquidity of bonds. We further confirm that bond market and CDS market are closely correlated. All in all, there is negative relationship between the liquidity of CDS and the liquidity of bonds. However, this relationship is nonlinear. It will change with the rating of the underlying. Due to the availability of data, we are unable to quantify the asymmetric information component, which may affect our empirical results. This is one of the further research interests.
Key Words: Credit Default Swaps; Bid-Ask Spread; Liquidity
