Market Liquidity in a Natural Experiment: Evidence from CDS Standard Coupons

IF 4.7 3区材料科学 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC ACS Applied Electronic Materials Pub Date : 2024-03-01 DOI:10.1017/s0022109024000176

Xinjie Wang, Ge Wu, Z. Zhong

引用次数: 0

Abstract

The CDS Big Bang introduced two standard coupons for CDS trading. We exploit the setting of the two standard coupons as a natural experiment to quantify the components of the bid-ask spreads in over-the-counter markets. We find that a significant portion of the difference in the bid-ask spread between the two coupons is explained by the difference in funding costs. Furthermore, search intensity also explains the variation in the difference in bid-ask spread. The liquidity typically concentrates on one of the standard coupons and can suddenly switch to the other coupon. Using the sudden switch of the primary coupon, we provide further evidence to support the predictions of search-based liquidity models.

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自然实验中的市场流动性：CDS 标准票据的证据

CDS 大爆炸为 CDS 交易引入了两个标准券。我们利用这两种标准息票的设定作为自然实验，量化场外市场买卖价差的组成部分。我们发现，两个标准券之间的买卖价差很大一部分是由融资成本的差异造成的。此外，搜索强度也能解释买卖价差的差异。流动性通常集中在其中一个标准券上，也可能突然切换到另一个券上。通过主券的突然切换，我们为支持基于搜索的流动性模型的预测提供了进一步的证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

ACS Applied Electronic Materials Multiple-

CiteScore

7.20

自引率

4.30%

发文量

567

期刊介绍： ACS Applied Electronic Materials is an interdisciplinary journal publishing original research covering all aspects of electronic materials. The journal is devoted to reports of new and original experimental and theoretical research of an applied nature that integrate knowledge in the areas of materials science, engineering, optics, physics, and chemistry into important applications of electronic materials. Sample research topics that span the journal's scope are inorganic, organic, ionic and polymeric materials with properties that include conducting, semiconducting, superconducting, insulating, dielectric, magnetic, optoelectronic, piezoelectric, ferroelectric and thermoelectric. Indexed/Abstracted： Web of Science SCIE Scopus CAS INSPEC Portico

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