Mayordomo, Sergio
[Verfasser:in]
;
Peña, Juan Ignacio
[Sonstige Person, Familie und Körperschaft];
Rodriguez-Moreno, Maria
[Sonstige Person, Familie und Körperschaft]
Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 17, 2012 erstellt
Beschreibung:
This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity risks increase. However, commonalities do not depend on firm's characteristics. The level of the liquidity commonalities differs across economic areas being on average stronger in the European Monetary Union. The effect of market liquidity is stronger than the effect of industry specific liquidity in most industries excluding the banking sector. We document the existence of asymmetries in commonalities around financial distress episodes such that the effect of market liquidity is stronger when the CDS market price increases. The results are not driven by the CDS data imputation method or by the liquidity of firms with high credit risk and are robust to alternative liquidity measures