本研究討論新興市場與歐豬五國主權債券的信用違約交換(CDS)期限結構如何影響該國的實質經濟情況以及股票指數報酬，資料期間為2001年1月到2013年8月。研究中發現，CDS期限結構代表市場對於一國長短期經濟情況的預期差異，斜率越陡隱含市場對於該國未來長期經濟發展較為悲觀。在同一年度中，CDS斜率較陡的國家，該年度的GDP成長率平均而言減少0.0062%。同時斜率越陡的國家，隱含未來違約機率較大，在高風險高報酬的情況下，未來一個月、三個月、六個月的期望報酬平均為0.0029%、0.0104%、0.0202%。利用CDS斜率形成投資組合時，買高斜率組、賣低斜率組的投資策略，在下個月平均能獲得1.35%的月報酬。此外在多數的新興市場國家中，也發現到優於預期的美國總經消息會減少CDS斜率的平均數與變異數，劣於預期的美國總經消息則會增加CDS斜率的平均數與變異數，可推測新興市場的經濟發展受到美國總經消息相當程度的影響。本文也發現歐債危機期間，希臘公債CDS斜率對於其他歐洲新興國家具有傳染效果，希臘公債每增加1個基點，下個月歐洲新興市場公債CDS斜率則會減少0.0044個基點。最後本研究針對金融海嘯與歐債危機期間再次做實證研究，發現CDS斜率對於該國經濟與股價指數仍有相同的影響。

This paper discussed how the term structure of CDS spread in emerging markets and PIIGS impacting on the real economy and the return of stock index. The sample period was from January 2001 to August 2013. We suggested that the term structure of CDS spread implied the different expectation of short-term and long-term. The markets expected the future pessimistically with higher term structure of CDS spread. The country whose term structure of CDS spread was higher decreased its GDP growth rate with 0.0062% on average. On the other hand, higher term structure of CDS spread implied higher risk and investors required higher expected return of stock index, which is 0.0029%, 0.0104%, 0.0202% in one month, three months, six months, respectively. Our strategy with buying high and selling low slope portfolio could earn the return of 1.35% next month. We also found the mean and variance of the term structure decreased by American good news and increased by bad news. We confirmed the CDS spread slope of Greece lowered its effect on the CDS spread slope of other European emerging countries by 0.0044 bp during the European debt crisis as well. Lastly, we did the robustness check after 2008 and found the effect on GDP growth rate and the return of index was still consistent.

論文審定書 i
摘要 ii
Abstract iii
1. Introduction 1
2. Literature Review 5
3. Data 9
3.1 CDS spread and term structure 9
3.2 U.S. macroeconomic news index 12
3.3 Stock index return 13
3.4 GDP growth rate 13
3.5 Control variables 13
4. Empirical Methodology 14
5. Empirical Results 15
5.1 The effect of CDS term structure from U.S. macroeconomic news 15
5.2 The effect of GDP growth rate from CDS term structure 18
5.3 The effect of stock index return from term structure of CDS spread 20
5.4 Portfolio strategy 22
5.5 Greece event 23
5.6 Robustness check 25
6. Conclusion 26
References 27
Figure 1. The slope of CDS spread trend 29
Table 1. Statistic description 30
Table 2. Stock index 31
Table 3. EGARCH estimation of the slope of CDS spread 32
Table 4. Regression on GDP growth rate 34
Table 5. Regression on future stock return 35
Table 6. Portfolio strategy 36
Table 7. Greece event 37
Table 8. Robustness check: U.S. macroeconomic news index 38
Table 9. Robustness check: GDP growth rate 39
Table 10. Robustness check: Stock index return 40

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