Market Structure and Transaction Costs of Index CDSs

• 成果类型: Article
• 署名作者: Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B.
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Hautes Etudes Commerciales (HEC) Paris; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12953
• 发表日期: 2020
• 页码: 2719-2763
• 关键词: trading costs; price; intermediation; INFORMATION; liquidity; TRANSPARENCY; ORDER

摘要

Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, largely permanent, price impact of client trades. Most interdealer trades are liquidity motivated and executed via low-cost, low-immediacy trading protocols. Dealer-to-client trades are nonanonymous; they almost always improve upon contemporaneous executable interdealer quotes, and dealers appear to price discriminate based on the perceived price impact of trades. Our results suggest that the market structure is a consequence of the characteristics of client trades: relatively infrequent, large, and differentially informed.