nep-mst New Economics Papers
on Market Microstructure
Issue of 2015‒07‒25
three papers chosen by
Thanos Verousis

  1. Empirics of Intraday and Real-time Markets in Europe: Spain By Rodilla, Pablo; Batlle, Carlos
  2. Bidding Structures and Trading Arrangements for Flexibility across EU Power Markets By Neuhoff, Karsten; Ritter, Nolan; Schwenen, Sebastian
  3. Price discovery in the markets for credit risk: A Markov switching approach By Thomas Dimpfl; Franziska J. Peter; ;

  1. By: Rodilla, Pablo; Batlle, Carlos
    Date: 2015
  2. By: Neuhoff, Karsten; Ritter, Nolan; Schwenen, Sebastian
    Date: 2015
  3. By: Thomas Dimpfl; Franziska J. Peter; ;
    Abstract: We examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares dur- ing tranquil and crisis periods. The results show that price discovery takes place mostly on the CDS market. The importance of the CDS market even increases during the more volatile crisis periods. Accord- ing to a cross sectional analysis liquidity is the main determinant of a market's contribution to price discovery. During the crisis period, however, we also find a positive link between leverage and CDS market information shares. Overall the results indicate that price discovery measures and their determinants change during tranquil and crisis pe- riods, which emphasizes the importance of more exible frameworks, such as Markov switching models.
    Keywords: Markov switching model, price discovery, credit risk, CDS
    JEL: C14 G15
    Date: 2015–07

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