Swap Market Model: Theory and Empirical Evidence

Market Liquidity—Theory and Empirical Evidence

In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity affects expected asset returns. Using a unified model from Vayanos and Wang (2010), we survey theore...

The Lévy swap market model

Models driven by Lévy processes are attractive since they allow for better statistical fitting compared to classical diffusion models. We derive the dynamics of the forward swap rate process in a semimartingale setting and introduce a Lévy swap market model. In order to guarantee positive rates, we model the swap rates as ordinary exponentials. We start with the most distant rate which is drive...

Petrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange

While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...

Market Structure : Theory and Evidence

Intra-Industry Credit Contagion Evidence from the Credit Default Swap Market and the Stock Market

By exploiting a comprehensive dataset of Credit Default Swaps (CDS), we investigate the intra-industry credit contagion effect in the context of Chapter 11 bankruptcy, Chapter 7 liquidation, and other credit events defined by extreme jumps in the CDS spread. Our analysis suggests the following findings: First, the credit contagion effect dominates the competitive effect surrounding Chapter 11 r...