Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis

被引：10
|
作者：
Mayordomo, Sergio [1 ]
Rodriguez-Moreno, Maria [1 ]
Ignacio Pena, Juan [2 ]
机构：
[1] Univ Navarra, Sch Econ & Business Adm, Edificio Amigos, Pamplona 31009, Spain
[2] Univ Carlos III Madrid, Dept Business Adm, Madrid 28903, Spain
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2014年 / 31卷
关键词：
Credit Default Swap; Liquidity commonalities; Global risk; Funding liquidity risk; Counterparty risk; RISK; RETURN; STOCK;
D O I：
10.1016/j.iref.2014.02.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market Using daily data for 401 firms from 24 countries in the period 2005-2012 we Find that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity risks increase. However, commonalities do not depend on firm's characteristics. The level of the liquidity commonalities differs across economic areas being on average stronger in the European Monetary Union. The effect of market liquidity is stronger than the effect of industry-specific liquidity. Finally, we document the existence of asymmetries in commonalities around financial distress episodes such that the effect of market liquidity is stronger when the CDS market price increases. (C) 2014 Elsevier Inc. All rights reserved.
引用
收藏
页码：171 / 192
页数：22
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