Related Securities and Equity Market Quality: The Case of CDS
研究发现，当个股信用违约互换（CDS）合约开始交易后，股票市场的流动性和价格效率会下降，这种负面效应在“坏”状态下尤为显著，而“好”状态下CDS市场可能有益。
Abstract We document that equity markets become less liquid and equity prices become less efficient when markets for single-name credit default swap (CDS) contracts emerge. This finding is robust across a variety of market quality measures. We analyze the potential mechanisms driving this result and find evidence consistent with negative trader-driven information spillovers that result from the introduction of CDS. These spillovers greatly outweigh the potentially positive effects associated with completing markets (e.g., CDS markets increase hedging opportunities) when firms and their equity markets are in “bad” states. In “good” states, we find some evidence that CDS markets can be beneficial.