Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse

• 成果类型: Article
• 署名作者: Bernstein, Asaf; Hughson, Eric; Weidenmier, Marc
• 署名单位: University of Colorado System; University of Colorado Boulder; Claremont Colleges; Claremont McKenna College; Claremont Graduate University; Chapman University System; Chapman University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/701033
• 发表日期: 2019
• 页码: 689-729
• 关键词: cross-section; liquidity; London

摘要

We examine the effect of the establishment of the New York Stock Exchange (NYSE) clearinghouse in 1892 on counterparty risk using a novel historical experiment. During this period, the NYSE stocks were dual-listed on the Consolidated Stock Exchange (CSE), which already had a clearinghouse. Using identical securities on the CSE as a control, we find that the introduction of multilateral net settlement through a clearinghouse substantially reduced volatility of NYSE returns caused by settlement risk and increased asset values. Our results indicate that a clearinghouse can improve market stability and value through a reduction in network contagion and counterparty risk.