The EU ban on uncovered sovereign credit default swaps: assessing impacts on liquidity, volatility and price discovery
This article addresses the effects of the prohibition against naked CDS buying implemented by the European Union in November 2012. Three aspects of market quality are analyzed: liquidity, volatility, and price informativeness. Overall, our results suggest that the ban produced negative effects on li...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2017
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10174/19965 |
| Country: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/19965 |