Price Discovery in Equity and CDS Markets
Price Discovery in Equity and CDS Markets
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DOI：
10.2139/ssrn.2841618
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发表时间：
2017-05
期刊：
影响因子：
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通讯作者：
L. Kryzanowski;Stylianos Perrakis;Rui Zhong
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文献类型：
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作者：
L. Kryzanowski;Stylianos Perrakis;Rui Zhong
使用信息和成分股指标，考察了拥有2009-2013年盘中数据的美国公司股票和信用违约互换(CDS)市场的价格发现贡献。由于微观结构、噪声和模型误差等不可观测因素的存在，这些度量方法的缺陷受到了特别的关注。虽然没有一个市场通常表现出价格发现优势，但CDS市场对场外交易和负收益意外的贡献强劲而显著地增加，特别是在公司特定不确定性很高的情况下。我们提供了一些证据，证明各种宏观经济声明中包含的惊喜与CDS市场更大的相对价格发现有关。
Price discovery contributions of equity and credit default swap (CDS) markets for U.S. firms with intraday data in 2009–2013 are examined using information and component shares metrics. Particular attention is paid to the drawbacks of these metrics because of unobservable factors such as microstructure noise and model error. While no market generally exhibits a price-discovery advantage, the CDS market's contribution increases strongly and significantly for after-hours OTC trading and for negative earnings surprises, especially with high firm-specific uncertainty. We provide some evidence that surprises contained in various macroeconomic announcements are associated with greater relative price discovery in the CDS market.