The Credit Derivative Market, -an efficiency study
(2002)Department of Business Administration
- Abstract
- Purpose: Using both a theoretical and empirical perspective, we investigate if the credit derivative market is efficient or not.
Method: We have used a qualitative method. A survey has been sent to 23 major banks and investment banks with questions about the credit derivative market and how the efficiency work in the market. The answers have been adapted to different efficiency theories to help reach the purpose.
Conclusions: We have noticed that the information efficiency is good on the efficiency while immediacy, transparency, resiliency and depth are inefficient on the market. From the above, we state that the market is efficient from the EMH and financial innovation perspective. On the other hand if you look at market microstructure... (More) - Purpose: Using both a theoretical and empirical perspective, we investigate if the credit derivative market is efficient or not.
Method: We have used a qualitative method. A survey has been sent to 23 major banks and investment banks with questions about the credit derivative market and how the efficiency work in the market. The answers have been adapted to different efficiency theories to help reach the purpose.
Conclusions: We have noticed that the information efficiency is good on the efficiency while immediacy, transparency, resiliency and depth are inefficient on the market. From the above, we state that the market is efficient from the EMH and financial innovation perspective. On the other hand if you look at market microstructure and asymmetric information the credit derivatives market is inefficient. If a market is total efficient all four theories must be fulfilled. Therefore we consider the credit derivative market inefficient. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1339216
- author
- Johansson, Sven ; Persson, Per-Anders and Claeson, Klas-Johan
- supervisor
- organization
- year
- 2002
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Credit derivatives, risk management, efficiency, Financial innovations, Asymmetric information, EMH, Market microstructure, Management of enterprises, Företagsledning, management
- language
- English
- id
- 1339216
- date added to LUP
- 2002-01-18 00:00:00
- date last changed
- 2012-04-02 14:10:04
@misc{1339216,
abstract = {{Purpose: Using both a theoretical and empirical perspective, we investigate if the credit derivative market is efficient or not.
Method: We have used a qualitative method. A survey has been sent to 23 major banks and investment banks with questions about the credit derivative market and how the efficiency work in the market. The answers have been adapted to different efficiency theories to help reach the purpose.
Conclusions: We have noticed that the information efficiency is good on the efficiency while immediacy, transparency, resiliency and depth are inefficient on the market. From the above, we state that the market is efficient from the EMH and financial innovation perspective. On the other hand if you look at market microstructure and asymmetric information the credit derivatives market is inefficient. If a market is total efficient all four theories must be fulfilled. Therefore we consider the credit derivative market inefficient.}},
author = {{Johansson, Sven and Persson, Per-Anders and Claeson, Klas-Johan}},
language = {{eng}},
note = {{Student Paper}},
title = {{The Credit Derivative Market, -an efficiency study}},
year = {{2002}},
}