Credit Default Swaps, Empty Creditors, and Informed Traders
| Project/Area Number |
21K01576
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
文 敏鳴 一橋大学, 大学院経営管理研究科, 教授 (30792931)
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| Project Period (FY) |
2021-04-01 – 2024-03-31
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| Project Status |
Granted (Fiscal Year 2022)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2023: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2022: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2021: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | credit default swaps / informed trading / empty creditor / inside information |
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| Outline of Research at the Start |
This project will investigate whether the informed trading on CDS by institutional investors may cause empty creditors (EC) concern. In addition, this project will examine the cross-market effects, namely, whether the EC issue embedded in the CDS and bond markets would affect the equity markets.
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| Outline of Annual Research Achievements |
One writing draft of the findings from this project has been completed and sent to academic conferences for presentation consideration.
At current stage, having been derived from this project, a paper titled The Information Content in Credit Default Swap Trading and Simultaneous Bondholding: Evidence from Insurance Companies has been accepted for presentation at the 2023 European Conference on 7 - 9 June 2023 at Aalborg University in Aalborg, Denmark.
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
The project has been progressing smoothly as expected. One drafted paper also derived from this project has been submitted to an academic journal for publication consideration.
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| Strategy for Future Research Activity |
After gathering the comments from the conference participants and the review comments from the journal reviewers, I will follow the comments for any further revisions and then resubmission.
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Report
(1 results)
Research Products
(2 results)
