Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity …, as buy (sell) orders lead to premium increases (decreases). Second, larger transactions have a higher price impact. This … finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity …

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …