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Liquidity Commonalities in the Corporate CDS Market around

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMayordomo, Sergio
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.authorRodríguez-Moreno, María
dc.date.accessioned2012-11-16T13:14:15Z
dc.date.available2012-11-16T13:14:15Z
dc.date.issued2012-10
dc.description.abstractThis study presents robust empírical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 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 finn's characteristics. The leve! 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 in most industries excluding the banking sector. We document the existence of asymmetries in commonalities around financia! distress episodes such that the effect of market 1iquidity is stronger when the CDS market price increases. The results are not driven by the CDS data imputation method or by the liquidity of firms with high credit risk and are robust to altemative liquidity measures.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/15894
dc.language.isoeng
dc.publisherSSRN
dc.relation.ispartofseriesSSRN Working Paper Series
dc.relation.ispartofseriesOct. 2012
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.jelG12
dc.subject.jelG15
dc.subject.otherCredit default swap
dc.subject.otherLiquidity commonalities
dc.subject.otherGlobal risk
dc.subject.otherFunding liquidity risk
dc.subject.otherCounterparty risk
dc.titleLiquidity Commonalities in the Corporate CDS Market around
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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