Endogenous liquidity in credit derivatives

doi:10.1016/j.jfineco.2011.10.010

CORC > 上海财经大学 > 上海财经大学

	Endogenous liquidity in credit derivatives
	Qiu, Jiaping 2,3; Yu, Fan 1,4
刊名	JOURNAL OF FINANCIAL ECONOMICS
	2012-03
卷号	103 期号:3 页码:611-631
关键词	Credit derivatives Dealers Liquidity provision Informed trading
ISSN号	0304-405X
DOI	10.1016/j.jfineco.2011.10.010
英文摘要	We study study the determination of liquidity provision in the single-name credit default swap (CDS) market as measured by the number of distinct dealers providing quotes. We find that liquidity is concentrated among large obligors and those near the investment-grade/speculative-grade cutoff. Consistent with endogenous liquidity provision by informed financial institutions, more liquidity is associated with obligors for which there is a greater information flow from the CDS market to the stock market ahead of major credit events. Furthermore, the level of information heterogeneity plays an important role in how liquidity provision responds to transaction demand and how liquidity is priced into the CDS premium. (C) 2011 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000299246400010
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2165]
专题	上海财经大学
通讯作者	Yu, Fan
作者单位	1.Claremont Mckenna Coll, Robert Day Sch Econ & Finance, Claremont, CA 91711 USA; 2.McMaster Univ, DeGroote Sch Business, Hamilton, ON L8S 4M4, Canada; 3.Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China; 4.Shanghai Jiao Tong Univ, Shanghai Adv Inst Finance, Shanghai 200030, Peoples R China
推荐引用方式 GB/T 7714	Qiu, Jiaping,Yu, Fan. Endogenous liquidity in credit derivatives[J]. JOURNAL OF FINANCIAL ECONOMICS,2012,103(3):611-631.
APA	Qiu, Jiaping,&Yu, Fan.(2012).Endogenous liquidity in credit derivatives.JOURNAL OF FINANCIAL ECONOMICS,103(3),611-631.
MLA	Qiu, Jiaping,et al."Endogenous liquidity in credit derivatives".JOURNAL OF FINANCIAL ECONOMICS 103.3(2012):611-631.