信用违约掉期和公司债券交易

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2021-10-01 DOI:10.1016/j.jfi.2021.100932

Robert Czech

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引用次数: 0

摘要

利用CDS持有量和公司债券交易的监管数据，我为CDS对债券市场的流动性溢出效应提供了证据。对于在债券发行人上有CDS头寸的投资者来说，债券交易量要大70%。此外，较高的CDS交易活动大大提高了基础债券的流动性，尤其是在评级下调的情况下。其他分析显示，溢出效应部分是由裸CDS头寸驱动的，这突出了裸CDS禁令对债券市场的不利后果之一。研究结果表明，可进入的CDS市场的存在提高了基础债券市场的流动性。

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Credit default swaps and corporate bond trading

Using regulatory data on CDS holdings and corporate bond transactions, I provide evidence for a liquidity spillover effect from CDS to bond markets. Bond trading volumes are 70% larger for investors with CDS positions written on the debt issuer. Moreover, higher CDS trading activity substantially improves the liquidity of the underlying bonds, particularly around rating downgrades. Additional analyses reveal that the spillover effect is partly driven by naked CDS positions, highlighting one of the adverse consequences of naked CDS bans for bond markets. The results suggest that the presence of an accessible CDS market enhances the liquidity of the underlying bond market.

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来源期刊

Journal of Financial Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.