Liquidity Provision and Informed Trading in the Credit Derivatives Market

2010 ◽  
Author(s):  
Tejas Gala ◽  
Jiaping Qiu ◽  
Fan Yu
Keyword(s):  
Credit Derivatives ◽  
Informed Trading ◽  
Liquidity Provision

scholarly journals Global Liquidity Provision and Risk Sharing

2020 ◽  
pp. 1-33
Author(s):  
Feng Jiao ◽  
Sergei Sarkissian
Keyword(s):  
Risk Sharing ◽  
High Probability ◽  
Foreign Market ◽  
Informed Trading ◽  
Global Markets ◽  
Price Shocks ◽  
Foreign Markets ◽  
Liquidity Provision ◽  
Global Liquidity ◽  
Probability Of Informed Trading

Abstract We examine liquidity-related characteristics of U.S. firms with cross-listed shares in 20 foreign markets in the 1950–2013 period. We find that firms after foreign-market listing exhibit lower liquidity sensitivity and lower liquidity beta and suffer less from transitory price shocks. These results are stronger when firms are listed on multiple exchanges and in larger and more liquid markets. The liquidity enhancement is associated with firms’ increased foreign ownership postlisting and is effective for firms with high levels of volatility, foreign income, and foreign trading and a high probability of informed trading. Our findings provide support for global markets providing liquidity and reducing liquidity risk to U.S. firms.

Liquidity provision and informed trading by individual investors

2015 ◽  
Vol 35 ◽  
pp. 143-162 ◽  
Author(s):  
Xiao Tian ◽  
Binh Do ◽  
Huu Nhan Duong ◽  
Petko S. Kalev
Keyword(s):  
Informed Trading ◽  
Individual Investors ◽  
Liquidity Provision

Credit Derivatives and Analyst Behavior

2016 ◽  
Vol 91 (5) ◽  
pp. 1315-1343 ◽  
Author(s):  
George Eli Batta ◽  
Jiaping Qiu ◽  
Fan Yu
Keyword(s):  
Private Information ◽  
Credit Rating ◽  
Earnings Announcements ◽  
Credit Derivatives ◽  
Informed Trading ◽  
Earnings Per Share ◽  
Analyst Behavior ◽  
Earnings Surprises ◽  
Credit Default

ABSTRACT This paper presents a comprehensive analysis of the role of credit default swaps (CDS) in information production surrounding earnings announcements. First, we demonstrate that the strength of CDS price discovery prior to earnings announcements is related to the presence of private information and the illiquidity of the underlying corporate bonds, consistent with the CDS market being a preferred venue for informed trading. Next, we ask how the information revealed through CDS trading influences the output of equity and credit rating analysts. We find that post-CDS trading, the dispersion and error of earnings per share forecasts are generally reduced, and downgrades by both types of analysts become more frequent and more timely before large negative earnings surprises, suggesting that the CDS market conveys information valuable to financial analysts.

Intraday momentum in FX markets: Disentangling informed trading from liquidity provision

2018 ◽  
Vol 37 ◽  
pp. 35-51 ◽  
Author(s):  
Gert Elaut ◽  
Michael Frömmel ◽  
Kevin Lampaert
Keyword(s):  
Informed Trading ◽  
Liquidity Provision
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