| 研究課題/領域番号 |
21K01576
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| 研究種目 |
基盤研究(C)
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| 配分区分 | 基金 |
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| 応募区分 | 一般 |
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| 審査区分 |
小区分07060:金融およびファイナンス関連
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| 研究機関 | 一橋大学 |
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研究代表者 |
文 敏鳴 一橋大学, 大学院経営管理研究科, 教授 (30792931)
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| 研究期間 (年度) |
2021-04-01 – 2024-03-31
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| 研究課題ステータス |
交付 (2022年度)
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| 配分額 *注記 |
3,900千円 (直接経費: 3,000千円、間接経費: 900千円)
2023年度: 910千円 (直接経費: 700千円、間接経費: 210千円)
2022年度: 1,430千円 (直接経費: 1,100千円、間接経費: 330千円)
2021年度: 1,560千円 (直接経費: 1,200千円、間接経費: 360千円)
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| キーワード | credit default swaps / informed trading / empty creditor / inside information |
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| 研究開始時の研究の概要 |
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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| 研究実績の概要 |
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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| 現在までの達成度 (区分) |
現在までの達成度 (区分)
2: おおむね順調に進展している
理由
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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| 今後の研究の推進方策 |
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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