کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083569 1477811 2014 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 31, May 2014, Pages 171-192
نویسندگان
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