Cross-market informed trading in the CDS and option markets
Author
Abstract
Suggested Citation
DOI: 10.1016/j.gfj.2021.100646
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ana Babus & Péter Kondor, 2018.
"Trading and Information Diffusion in Over‐the‐Counter Markets,"
Econometrica, Econometric Society, vol. 86(5), pages 1727-1769, September.
- Ana Babus & Péter Kondor, 2012. "Trading and Information Diffusion in Over-the-Counter Markets," CEU Working Papers 2012_19, Department of Economics, Central European University, revised 09 Dec 2012.
- Babus, Ana & Kondor, Peter, 2018. "Trading and information diffusion in over-the-counter markets," LSE Research Online Documents on Economics 118939, London School of Economics and Political Science, LSE Library.
- Peter Kondor & Ana Babus, 2013. "Trading and Information Diffusion in Over-the-Counter Markets," 2013 Meeting Papers 792, Society for Economic Dynamics.
- Chakravarty, Sugato, 2001.
"Stealth-trading: Which traders' trades move stock prices?,"
Journal of Financial Economics, Elsevier, vol. 61(2), pages 289-307, August.
- Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, University Library of Munich, Germany.
- Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2014.
"Information percolation in segmented markets,"
Journal of Economic Theory, Elsevier, vol. 153(C), pages 1-32.
- Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO, 2010. "Information Percolation in Segmented Markets," Swiss Finance Institute Research Paper Series 10-09, Swiss Finance Institute.
- Darrell Duffie & Semyon Malamud & Gustavo Manso, 2011. "Information Percolation in Segmented Markets," NBER Working Papers 17295, National Bureau of Economic Research, Inc.
- Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
- repec:bla:jfinan:v:58:y:2003:i:2:p:921-938 is not listed on IDEAS
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Burton Hollifield & Artem Neklyudov & Chester Spatt, 2017. "Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations," The Review of Financial Studies, Society for Financial Studies, vol. 30(9), pages 3048-3085.
- Darrell Duffie & Gaston Giroux & Gustavo Manso, 2010.
"Information Percolation,"
American Economic Journal: Microeconomics, American Economic Association, vol. 2(1), pages 100-111, February.
- Gustavo Manso & Gaston Giroux & Darrell Duffie, 2008. "Information Percolation," 2008 Meeting Papers 471, Society for Economic Dynamics.
- Christine A. Parlour & Guillaume Plantin, 2008. "Loan Sales and Relationship Banking," Journal of Finance, American Finance Association, vol. 63(3), pages 1291-1314, June.
- Paul Brockman & Dennis Y. Chung, 2003. "Investor Protection and Firm Liquidity," Journal of Finance, American Finance Association, vol. 58(2), pages 921-937, April.
- Hendrik Bessembinder & William Maxwell, 2008. "Markets: Transparency and the Corporate Bond Market," Journal of Economic Perspectives, American Economic Association, vol. 22(2), pages 217-234, Spring.
- Bühler, Wolfgang & Trapp, Monika, 2009. "Time-varying credit risk and liquidity premia in bond and CDS markets," CFR Working Papers 09-13, University of Cologne, Centre for Financial Research (CFR).
- Josef Lakonishok & Inmoo Lee & Neil D. Pearson & Allen M. Poteshman, 2007. "Option Market Activity," The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 813-857.
- Easley, David, et al, 1996. "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-1436, September.
- Robert Jarrow & Haitao Li & Xiaoxia Ye & May Hu, 2019. "Exploring Mispricing in the Term Structure of CDS Spreads," Review of Finance, European Finance Association, vol. 23(1), pages 161-198.
- Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
- Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, vol. 13(3), pages 321-343, August.
- Acharya, Viral V. & Johnson, Timothy C., 2007.
"Insider trading in credit derivatives,"
Journal of Financial Economics, Elsevier, vol. 84(1), pages 110-141, April.
- Acharya, Viral & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers.
- repec:bla:jfinan:v:59:y:2004:i:3:p:1235-1258 is not listed on IDEAS
- Peter Carr & Liuren Wu, 2011. "A Simple Robust Link Between American Puts and Credit Protection," The Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 473-505.
- Christine Parlour & Guillaume Plantin, 2008. "Loan Sales and Relationship Banking," Post-Print hal-03415832, HAL.
- Anand, Amber & Chakravarty, Sugato, 2007. "Stealth Trading in Options Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 167-187, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hu, May & Narayan, Paresh & Park, Jason & Verhoeven, Peter, 2022. "Informed trading in the CDS and OTM put option markets," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 353-367.
- Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
- Hwang Hee Lee & Frederick Dongchuhl Oh, 2022. "The role of credit default swaps in determining corporate payout policy," Financial Management, Financial Management Association International, vol. 51(2), pages 635-661, June.
- Tsai, Feng-Tse & Lu, Hsin-Min & Hung, Mao-Wei, 2016. "The impact of news articles and corporate disclosure on credit risk valuation," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 100-116.
- Ye, Xiaoxia & Yu, Fan & Zhao, Ran, 2022. "Credit derivatives and corporate default prediction," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Acheson, Graeme G. & Coyle, Christopher & Turner, John D., 2018. "Prices and informed trading: Evidence from an early stock market," QUCEH Working Paper Series 2018-05, Queen's University Belfast, Queen's University Centre for Economic History.
- Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
- Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
- McAdam, Chris, 2020. "Are investors compensated for their sophistication and informedness for company takeovers – An Australian study," Global Finance Journal, Elsevier, vol. 44(C).
- Doojin Ryu & Jinyoung Yu, 2021. "Informed options trading around holidays," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 658-685, May.
- Upson, James & McInish, Thomas & IV, B. Hardy Johnson, 2021. "Order based versus level book trade reporting: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 125(C).
- Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
- Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
- Tang, Dragon Yongjun & Yan, Hong, 2017. "Understanding transactions prices in the credit default swaps market," Journal of Financial Markets, Elsevier, vol. 32(C), pages 1-27.
- Steven Lecce & Andrew Lepone & Michael D. McKenzie & Jin Boon Wong & Jin Y. Yang, 2018. "Short‐selling and credit default swap spreads—Where do informed traders trade?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 925-942, August.
- Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013.
"What determines Euro area bank CDS spreads?,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 444-461.
- Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2009. "What determines euro area bank CDS spreads ?," Financial Stability Review, National Bank of Belgium, vol. 7(1), pages 153-169, June.
- Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.
- Davide Avino & Emese Lazar & Simone Varotto, 2011.
"Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options,"
ICMA Centre Discussion Papers in Finance
icma-dp2011-17, Henley Business School, University of Reading.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," MPRA Paper 56781, University Library of Munich, Germany.
- Alper Kara & David Marques-Ibanez & Steven Ongena, 2015.
"Securitization and Credit Quality,"
Working Papers
15013, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Ongena, Steven & Kara, Alper & Marqués-Ibáñez, David, 2017. "Securitization and credit quality," Working Paper Series 2009, European Central Bank.
- Alper Kara & David Marques-Ibanez & Steven Ongena, 2015. "Securitization and Credit Quality," International Finance Discussion Papers 1148, Board of Governors of the Federal Reserve System (U.S.).
- David Marques-Ibanez, 2016. "Securitization and Credit Quality," IMF Working Papers 2016/221, International Monetary Fund.
- Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori, 2011.
"The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps,"
LSF Research Working Paper Series
11-13, Luxembourg School of Finance, University of Luxembourg.
- Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series 11-04, Luxembourg School of Finance, University of Luxembourg.
- Anagnostidis, Panagiotis & Fontaine, Patrice & Varsakelis, Christos, 2020. "Are high–frequency traders informed?," Economic Modelling, Elsevier, vol. 93(C), pages 365-383.
More about this item
Keywords
Credit default swap; Options; Market efficiency; Informed trading; Over-the-counter markets;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000442. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.