Central clearing and CDS market quality

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dc.contributor.authorSilva, Paulo
dc.contributor.authorVieira, Carlos
dc.contributor.authorVieira, Isabel
dc.date.accessioned2019-02-20T15:53:45Z
dc.date.available2019-02-20T15:53:45Z
dc.date.issued2018
dc.description.abstractThis paper contributes to the literature on the impact of central clearing on financial market quality. Focusing on the CDS market, a difference-in-differences analysis is performed to identify effects of voluntary central clearing of contracts on ICECC and ICECE. Patterns of market quality proxies are compared before and after central clearing initiation. We conclude that central clearing improves liquidity, price informativeness and precision, and also the integration of the CDS and stock markets. Results are inconclusive for the impact on CDS price volatility.por
dc.description.sponsorshipFEDER/COMPETE, Grant number: POCI-01-0145-FEDER-007659; Fundação para a Ciência e a Tecnologia, Grant number: UID/ECO/04007/2013por
dc.identifier.authoremailpaulompsilva@gmail.com
dc.identifier.authoremailcvieira@uevora.pt
dc.identifier.authoremailimpvv@uevora.pt
dc.identifier.citationSILVA, P., VIEIRA, C. and VIEIRA, I. (2018) Central clearing and CDS market quality, Journal of Futures Markets. DOI: 10.1002/fut.21906por
dc.identifier.doihttps://doi.org/10.1002/fut.21906por
dc.identifier.scientificarea649por
dc.identifier.urihttps://onlinelibrary.wiley.com/doi/abs/10.1002/fut.21906
dc.identifier.urihttp://hdl.handle.net/10174/24797
dc.language.isoengpor
dc.peerreviewedyespor
dc.publisherJournal of Futures Marketspor
dc.rightsrestrictedAccesspor
dc.subjectcentral clearingpor
dc.subjectcredit default swapspor
dc.subjectliquiditypor
dc.subjectprice efficiencypor
dc.titleCentral clearing and CDS market qualitypor
dc.typearticlepor

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