The dynamics and determinants of liquidity connectedness across financial asset markets
We quantify the degree of liquidity connectedness across stock, bond, money and foreign
exchange markets in Malaysia. The liquidity connectedness index from the time-varying …
exchange markets in Malaysia. The liquidity connectedness index from the time-varying …
Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang
We use the advent of new credit default swap (CDS) trading conventions in April 2009—the
CDS Big Bang—to study how a shock to funding liquidity impacts market liquidity. After the …
CDS Big Bang—to study how a shock to funding liquidity impacts market liquidity. After the …
Developments in CDS Markets: A Review on Recent CDS Studies
X Hu, Z Zhong - … of Investment Analysis, Portfolio Management, and …, 2024 - World Scientific
The credit default swap (CDS) market has experienced tremendous changes over the last
two decades. This chapter reviews recent studies on the CDS contract and the CDS market …
two decades. This chapter reviews recent studies on the CDS contract and the CDS market …
The Comovements of stock, bond, and Cds illiquidity before, during, and after the global financial crisis
Using both marketwide and firm‐level illiquidity measures of the stock, bond, and credit
default swap markets, we find that comovements of illiquidity across markets increase …
default swap markets, we find that comovements of illiquidity across markets increase …
CDS and Credit: The Effect of the Bangs on Credit Insurance, Lending and Hedging
We assess the differential impact of the “Big Bang” and “Small Bang” contract and
convention changes on market participants across CDS markets. We couple comprehensive …
convention changes on market participants across CDS markets. We couple comprehensive …