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Title: Central clearing and CDS market quality
Authors: Silva, Paulo
Vieira, Carlos
Vieira, Isabel
Keywords: central clearing
credit default swaps
price efficiency
Issue Date: 2018
Publisher: Journal of Futures Markets
Citation: SILVA, P., VIEIRA, C. and VIEIRA, I. (2018) Central clearing and CDS market quality, Journal of Futures Markets. DOI: 10.1002/fut.21906
Abstract: This 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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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