The Anatomy of the CDS Market
利用单名公司信用违约互换（CDS）的头寸和交易数据，发现CDS市场作为标准化和流动性提供场所，其交易集中在债券碎片化程度高的公司，且投机交易主导CDS市场，跨市场套利通过基差交易压缩负基差并降低债券市场价格冲击。
Using novel position and trading data for single-name corporate credit default swaps (CDSs), we provide evidence that CDS markets emerge as “alternative trading venues” serving a standardization and liquidity role. CDS positions and trading volume are larger for firms with bonds fragmented into many separate issues and with heterogeneous contractual terms. Whereas hedging motives are associated with trading volume in the bond and CDS markets, speculative trading concentrates in the CDS. Cross-market arbitrage links the CDS and bond market via the basis trade, compressing the negative CDS-bond basis and reducing price impact in the bond market. Received September 24, 2014; accepted January 17, 2016 by Editor Andrew Karolyi.