In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this … main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation …. We first show that CDS traders adjust the CDS premium in response to the observed order flow. Buy orders lead to an …

In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this … main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation …. We first show that CDS traders adjust the CDS premium in response to the observed order flow. Buy orders lead to an …

We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity … dimension of liquidity. We present descriptive statistics, analyze the cross-sectional determinants of the XLM measure and … document its intraday pattern. Our main contribution is an analysis of the dynamics of the XLM measure around liquidity shocks …

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …

order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The …

differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of …

This paper investigates resiliency to provide a dynamic perspective on liquidity. We define resiliency as the rate of … mean reversion in liquidity. Resiliency increases with the proportion of patient traders, decreases with order arrival rate … robust with respect to the order book depth at which liquidity is measured. …

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …