کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10475830 | 929408 | 2016 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
This paper examines transaction costs and liquidity in the index CDS market by matching intraday quotes to real-time trade reports made available through the Dodd-Frank reforms. We find that the average relative effective spread is 0.27% of price level or 2.73% of CDS spread. Dodd-Frank does affect transaction costs and liquidity. Liquidity improves after the commencement of public dissemination of OTC derivatives trades. Moreover, cleared trades, trades executed on exchange-like venues, end-user trades, and bespoke trades exhibit lower trading costs, price impact, and price dispersion. These findings improve our understanding of the OTC derivatives market that is undergoing fundamental changes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 119, Issue 3, March 2016, Pages 645-672
Journal: Journal of Financial Economics - Volume 119, Issue 3, March 2016, Pages 645-672
نویسندگان
Yee Cheng Loon, Zhaodong (Ken) Zhong,