政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30065
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140891 (78%)
Visitors : 46253010      Online Users : 931
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30065


    Title: The Co-movements of Bonds Spreads by Credit Ratings and Durations
    Authors: 黃心梅
    Contributors: 胡聯國
    林修葳
    黃心梅
    Keywords: Bond
    Credit Spread
    Credit Rating
    Duration
    Co-movement
    Date: 2004
    Issue Date: 2009-09-11 17:09:29 (UTC+8)
    Abstract: This study adopts Markov-switching ARCH model proposed by Hamilton and Susmel (1994) to explore the behavior of credit spreads for different bond ratings. Specifically, this paper examines the properties of credit spreads and the co-movements of spreads among different durations and credit ratings. The consideration of the population makes the outcome more precise. The contribution of this study is to add to the investors a knowledge as to the credit spread behavior and help them understand the lower rating or longer maturity bonds by the observation of the investment-graded bonds while there are more risks and uncertainties conceal in these high yield bonds or D-rated bonds. The conclusion of this paper may help investors understand credit risk management and thus build appropriate portfolios.
    Reference: Bierens H., Huang JZ., Kong W. 2003. An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects. Working Paper Series.
    Collin-Dufresne P., Goldstein R.S, and Martin J.P. 2001. The Determinants of Credit Spread Changes. The Journal of Finance. 2177-2207.
    Driessen J. 2005. Is Default Event Risk Priced in Corporate Bonds?. The Review of Financial Studies 18: 165-195.
    Duffee G. 1998. The Relation Between Treasury Yields and Corporate Bond Yield Spread. Journal of Finance 53.
    Duffie D., Singleton KJ. 2003. Credit Risk: Pricing, Measurement, and Management. Princeton University Press
    Enders W. 1995. Applied Econometric Time Series. John Wiley & Sons, Inc.
    Hand JRM, Holthausen RW. 1992. The Effect of Bond Rating Agency Announcements on Bond and Stock Pricing. Journal of Finance 47: 733-752.
    Huang JZ., Huang M. 2003. How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?. Working paper.
    Joutz F., Mansi S.A., Maxwell W.F. 2001. The Dynamics of Corporate Credit Spreads. Working paper.
    Kang JK., Kim HS. 2004. Pricing Credit Spread Options under a Markov Chain Model with Stochastic Default Rate. The Journal of Futures Market 24: 631-648.
    Lin H.W., Li M.Y. 2004. Examining the Multiple Volatilities and Co-movements asWell as Beta Coefficients of International Stock Markets. The 11th Global Finance Conference
    Perraudin W, Taylor AP. 2004. On the Consistency of Ratings and Bond Market Yields. Journal of Banking & Finance 28: 2769-2788.
    Steiner M, Heinke VG. 2001. Event Study Concerning International Bond Price Effects of Credit Rating Actions. International Journal of Finance and Economics 6: 139:157.
    Scholtens B. 1999. On the Comovement of Bond Yield Spreads and Country Risk Ratings. The journal of fixed income 8: 99-103.
    Thomas L.C., Allen D.E. Morkel-Kingsbury N. 2002. A Hidden Markov Chain Model for the Term Structure of Bond Credit Risk Spreads. International review of financial analysis 11:311-329.
    Wei JZ. 2000. A Multi-Factor, Markov Chain Model for Credit Migrations and Credit Spreads. Working paper.
    West R., 1973. Bond Ratings, Bond Yield and Financial Regulation: Some Findings. Journal of Law and Economics 16: 159-168.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351036
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913510361
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2526View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback