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An Analysis of Insider Trading in the Credit Derivatives Market Using the Event Study Methodology

100%
Wareluk E.
Management and Business Administration. Central Europe
|
2013
|
vol. 21
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issue 4(123)
25-54
EN
Purpose: In this paper I investigate the information fl ow between the credit default swap market and the stock market as well as insider trading in the credit default swap market. Methodology: For my analysis I use the event study methodology. Using the event study methodology I calculate abnormal stock returns and abnormal credit default swap premium changes. The analysis is based on 175,874 observations collected for 92 companies between the years 2001 and 2010. Findings: The results show that the information fl ow from the credit default swap market to the stock market is the most signifi cant in terms of negative rating outlooks. The information fl ow is much less signifi cant in relations to negative surprises during announcements of annual fi nancial results and rating upgrades. Evidence of insider trading is also most evident with reference to negative rating outlooks. Additionally, a distinctive feature of the credit default swap market and the stock market is the asymmetric response to negative and positive credit information. Research limitations: The event study methodology does not consider other potentially important reasons for the information flow between markets than the ones actually investigated. The credit events and credit risk information used in this research are just a proposal and can be extended by future researchers. Originality: This paper discusses a new research area. The main research area in terms of insider trading is still the stock market, with special focus on the US market. I decided to explore the insider trading phenomenon in the credit default swap market. I only considered contracts that are quoted with reference to European underlying assets. This part of the fi nancial market is attractive in terms of economic research as credit derivatives are more commonly used not only in North America but also in Europe.
2
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Rynek kredytowych instrumentów pochodnych w procesie zmian

63%
Pyka I., Czech M.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
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2013
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vol. 47
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issue 3
EN
In the age of growing global debt, an increasing uncertainty and perturbations in the financial market, rapid development of credit derivatives is constantly observed. Although credit derivatives market is mainly over-the-counter and is not subject to strict regulatory discipline there is growing interest of credit contract – mainly CDS. This paper brings up a  transformation issue of credit derivatives market from 2005 to 2012 and concentrates on the determinants’ analysis of its growth.
PL
Artykuł nie zawiera abstraktu w języku polskim
3

Zmiany regulacyjne a rozwój pochodnych instrumentów kredytowych na polskim rynku finansowym

63%
Jurkowska A.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
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2015
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issue 1(937)
69-84
PL
Pozytywnym skutkom rozwoju pochodnych instrumentów kredytowych towarzyszy pojawienie się nowych obszarów ryzyka zagrażających stabilności finansowej. Ze względu na fazę rozwoju rynku (barierami rozwoju były ograniczenia regulacyjne, proceduralne i technologiczne) zagrożenia związane z PIK w Polsce nie ujawniły się w takim stopniu, jaki zaobserwowano w krajach rozwiniętych. Zmniejszeniu skali ryzyka mają służyć ostatnie zmiany w sferze regulacyjnej, m.in. rozporządzenie EMIR i rozporządzenie w sprawie krótkiej sprzedaży i wybranych aspektów w zakresie swapów ryzyka kredytowego oraz rozpowszechnianie standardów ISDA dotyczących umów bilateralnych. Osiągnięcie tego celu pozwoli ograniczyć negatywne zjawiska, jakie ujawniły się w ostatnich latach, umożliwi stabilny rozwój rynku oraz zwiększy szanse na skuteczną alokację ryzyka przy wykorzystaniu omawianej kategorii instrumentów w Polsce. Niektóre z przyjętych rozwiązań mogą jednak mieć negatywne następstwa: nowe wymogi w zakresie tworzenia i funkcjonowania CCP nie sprzyjają przejrzystości obrotu pochodnymi, a potencjalny skutek zakazu handlu „nagimi swapami” to wzrost premii za ryzyko. Będzie to szczególnie odczuwalne dla krajów o słabszym potencjale ekonomicznym i finansowym, do których należy Polska.
EN
The positive effects of the development of credit derivatives is accompanied by new areas of risk that threaten financial stability. Due to the phase of the market development (the foregoing development barriers were regulatory, procedural and technological constraints) the level of risk associated with credit derivatives in Poland is not comparable to the risk observed in developed ones. The new threats are supposed to be reduced by recent regulatory changes (implementing EMIR, the Regulation on short selling and certain aspects of credit default swaps and ISDA standards). Achieving this goal will enable the stable development of the credit derivatives market and will increase the chances for effective credit risk allocation in Poland. Some of the solutions may, however, have negative consequences: new requirements for the establishment and functioning of the CCP are not conducive to the transparency of derivatives trading, while the prohibition of „naked swaps” trading can increase the risk premium. This will be especially discernible in countries with weaker financial and economic potential, including Poland.
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