Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Market Liquidity in a Natural Experiment: Evidence from CDS Standard Coupons
Xinjie Wang, Ge Wu, and Zhaodong (Ken) Zhong ♦ The CDS Big Bang introduced two standard coupons for CDS trading. We exploit the setting of the two standard coupons as a natural experiment to quantify the components of the bid-ask…