文献类型：期刊文献

英文题名：A substitution effect between price clustering and size clustering in credit default swaps

作者：Meng, Lei[1];Verousis, Thanos[2];ap Gwilym, Owain[2]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]Bangor Univ, Bangor Business Sch, Bangor LL57 2DG, Gwynedd, Wales

年份：2013

卷号：24

起止页码：139

外文期刊名：JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

收录：;WOS:【SSCI(收录号:WOS:000324479400008)】；

语种：英文

外文关键词：Credit default swap; Price clustering; Size clustering; Notional amount

摘要：In a perfectly liquid market, investors' optimal allocation decisions refer to maximizing all three dimensions of liquidity, namely immediacy, width and depth. To the extent that investors fail to accommodate size (depth) along with price (width) in their optimal allocation decisions, their overall costs may increase. This paper focuses on the substitution of width and depth by investigating the simultaneous determination of price clustering and size clustering in the credit default swap (CDS) market. We report strong evidence that when traders round prices they tend to quote more refined sizes, and vice versa. The findings highlight a clear trade-off between price clustering and notional amount in the CDS market, and contribute to the emerging literature on size clustering. (C) 2012 Elsevier B. V. All rights reserved.