Economics at your fingertips  

Central clearing and CDS market quality

Paulo Pereira da Silva, Carlos Vieira () and Isabel Vieira ()

Journal of Futures Markets, 2018, vol. 38, issue 6, 731-753

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.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-09-17
Handle: RePEc:wly:jfutmk:v:38:y:2018:i:6:p:731-753