The value of trading relations in turbulent times

• 成果类型: Article
• 署名作者: Di Maggio, Marco; Kermani, Amir; Song, Zhaogang
• 署名单位: Harvard University; National Bureau of Economic Research; University of California System; University of California Berkeley; Johns Hopkins University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.01.003
• 发表日期: 2017
• 页码: 266-284
• 关键词: Corporate bond; Dealer network; Intermediation chain; Over-the-counter financial market; Trading relationship

摘要

This paper investigates how dealers' trading relations shape their trading behavior in the corporate bond market. Dealers charge lower spreads to dealers with whom they have the strongest ties and more so during periods of market turmoil. Systemically important dealers exploit their connections at the expense of peripheral dealers as well as clients, charging higher markups than to other core dealers. Also, intermediation chains lengthened by 20% following the collapse of a flagship dealer in 2008 and even more for institutions strongly connected to this dealer. Finally, dealers drastically reduced their inventory during the crisis. (C) 2017 Elsevier B.V. All rights reserved.