Credit default swaps and corporate bond trading

نویسندگان

چکیده

Using regulatory data on CDS holdings and corporate bond transactions, I provide evidence for a liquidity spillover effect from to markets. Bond trading volumes are 70% larger investors with positions written the debt issuer. Moreover, higher activity substantially improves of underlying bonds, particularly around rating downgrades. Additional analyses reveal that is partly driven by naked positions, highlighting one adverse consequences bans The results suggest presence an accessible market enhances market.

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ژورنال

عنوان ژورنال: Journal of Financial Intermediation

سال: 2021

ISSN: ['1042-9573', '1096-0473']

DOI: https://doi.org/10.1016/j.jfi.2021.100932