Market Structure and Transaction Costs of Index CDSs

Autor:	Pierre Collin-Dufresne, Anders B. Trolle, Benjamin Junge
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	Transaction cost Economics and Econometrics 050208 finance Credit default swap Index (economics) 05 social sciences computer.file_format Monetary economics Swap Execution Facility Clinical decision support system Market liquidity Market structure Accounting 0502 economics and business Executable Business 050207 economics computer Finance
Zdroj:	Journal of Finance. 75(5):2719-2763
ISSN:	1540-6261 0022-1082
Popis:	Despite regulatory efforts to promote all‐to‐all trading, the post–Dodd‐Frank index credit default swap market remains two‐tiered. Transaction costs are higher for dealer‐to‐client than interdealer trades, but the difference is explained by the higher, largely permanent, price impact of client trades. Most interdealer trades are liquidity motivated and executed via low‐cost, low‐immediacy trading protocols. Dealer‐to‐client trades are nonanonymous; they almost always improve upon contemporaneous executable interdealer quotes, and dealers appear to price discriminate based on the perceived price impact of trades. Our results suggest that the market structure is a consequence of the characteristics of client trades: relatively infrequent, large, and differentially informed.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b3788be1bc12d843d510ed185113c176 https://research.cbs.dk/en/publications/a6ddca36-3dd1-4a26-a3f0-5189b1726233 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.