Using a news-based index of economic policy uncertainty (EPU), we find that EPU is positively associated with credit default swap (CDS) spreads and negatively associated with the number of liquidity providers in the CDS market. A 10% increase in EPU leads to an 8.4% increase in CDS spreads and a...

We use the advent of new credit default swap (CDS) trading conventions in April 2009—the CDS Big Bang—to study how a shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute CDS transactions, with the size of the fees...

This paper examines the effects of public news releases on the market liquidity in one of the most important OTC derivatives markets — the CDS market. We document that, at the time of news releases, the bid-ask spread is wider, the number of quotes is larger, and the number of dealers is...

This study examines the effects of the COVID-19 pandemic on sovereign CDS spreads using a large sample of countries. We show how sovereign CDS spreads have widened significantly in response to the COVID-19 pandemic. Based on the most conservative estimate, a 1% increase in COVID-19 infections...

In this paper, we study systemic risk in China using information from credit default swap (CDS) data of Chinese firms. We find a large time variation in CDS spreads. More importantly, firms’ CDS spreads co-move with each other and the first three principal components explain 94% of the...

This paper examines the impact of sentiment in an online message forum on stock returns. Using a novel controlled experiment, we collect a large panel of messages with no fundamental information but strong sentiment and stock return data. We find a significant causal effect of social media...