Dissertation/Thesis Abstract

What explains Credit default swaps bid-ask spread?
by Chen, Yaru, M.Sc., Singapore Management University (Singapore), 2008, 69; 1483216
Abstract (Summary)

The pace at which the Credit default swaps (CDS) has been growing since its inception topped all projections. Despite the rapid growth, there is still room for enhancement of liquidity in the CDS market. Asymmetric information is another concern of investors in CDS market, however, some literature addressed that it may not be as serious as regarded. Bid-ask spreads is commonly used as a proxy of both liquidity and asymmetric information. Our empirical study confirms that CDS bid-ask spread has explanatory power to CDS premium. We then investigate the liquidity component in CDS bid-ask spreads. We use the bond age, bond amount, and bond time-to-maturity as the liquidity measure. We confirm that the bond market and CDS market are closely correlated. However, the composition of CDS bid-ask spread need to be further studied.

Key Words: Credit Default Swaps; Bid-Ask Spread; Liquidity

Indexing (document details)
Advisor: Wu, Chunchi
Commitee:
School: Singapore Management University (Singapore)
Department: Lee Kong Chian School of Business
School Location: Republic of Singapore
Source: MAI 49/03M, Masters Abstracts International
Source Type: DISSERTATION
Subjects: Education finance, Banking
Keywords: Bid-ask spread, Credit default swaps, Liquidity
Publication Number: 1483216
ISBN: 9781124352114
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