Informed trading, heterogeneity investment, liquidity shocks and the valuation of credit default swaps
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  • 作者:Xing Yang 杨 星 ; Chun Fan 范 纯
  • 关键词:informed trading ; heterogeneity investment ; liquidity shocks ; valuation of credit default swaps ; F 831.2
  • 刊名:Journal of Shanghai Jiaotong University (Science)
  • 出版年:2016
  • 出版时间:February 2016
  • 年:2016
  • 卷:21
  • 期:1
  • 页码:69-80
  • 全文大小:218 KB
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  • 作者单位:Xing Yang 杨 星 (1)
    Chun Fan 范 纯 (1)
    Gan Li 李 刚 (2)

    1. College of Economics, Jinan University, Guangzhou, 510632, China
    2. Institute of Finance, Yuexiu Financial Holdings Group Co., Ltd., Guangzhou, 510000, China
  • 刊物类别:Engineering
  • 刊物主题:Electrical Engineering
    Life Sciences
    Architecture
    Chinese Library of Science
  • 出版者:Shanghai Jiao Tong University Press
  • ISSN:1995-8188
  • 文摘
    This paper explores the effect of informed trading, heterogeneity investment and liquidity shocks on the valuation of credit default swaps (CDSs). Under the condition of asymmetric information, the informed trading plays an important role in the valuation of CDS. Instruction order flow has a significant influence on CDS price. And the scope of influence changes in accordance with different time interval, company status and the size of bid-ask spread. Heterogeneity of investors seriously affects the market liquidity and subsequently affects the CDS price. The bigger heterogeneity of the investment philosophy, investment habits, investment preference and so on is the bigger risk for market liquidity, and the higher price for CDS shall be. On the contrary, the conclusion is also consistent. The effectiveness of liquidity, whether it is before or after the financial crisis, dominates the fluctuation of CDS price. The premium of liquidity accounts for 36% to 50% of the CDS price. Keywords informed trading heterogeneity investment liquidity shocks valuation of credit default swaps

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