Proibição de naked SCDS

: liquidez e aversão ao risco

Abstract

With this thesis we intend to evaluate the effectiveness and the need for a European Union´s regulation called "Short Selling and Certain Aspects of Credit Default Sawps", which prohibits naked sovereign CDS, in particular with regard to the explosive behavior of SCDS spreads and bonds spreads of countries within the European Economic Area, after these experienced situations of great financial disstress. Making use of PSY test, a test to observe exuberant behavior in the market, or a test to observe excess reaction in CDS spreads which is based on a new methodology developed by Phillips, Shi and Yu (2015), we observed the existence of financial bubbles, ie explosive spreads behavior, before and after the introduction of the new regulatory framework in Cyprus, Greece and Portugal in the window period between January 2008 and March 2012. Since the purpose of the regulation was to avoid the explosive behavior of spreads in situations of great financial disstress, as the ones experienced by the countries chosen for analysis, in order to prevent negative price spirals of sovereign bonds, we concluded for the ineffectiveness of the type of regulation adopted by the European Union and questioned the need for it, given the results obtained.

Date of Award	6 Jul 2016
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carlos Santos (Supervisor)