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130359 |
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|a Zhu, Haoxiang
|e author
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|a Sloan School of Management
|e contributor
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|a Swap trading after Dodd-Frank: Evidence from index CDS
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|b Elsevier BV,
|c 2021-04-05T14:34:03Z.
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|z Get fulltext
|u https://hdl.handle.net/1721.1/130359
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|a The Dodd-Frank Act mandates that certain standard over-the-counter (OTC) derivatives must be traded on swap execution facilities (SEFs). Using message-level data, we provide a granular analysis of dealers' and customers' trading behavior on the two largest dealer-to-customer SEFs for index credit default swaps (CDS). On average, a typical customer contacts few dealers when seeking liquidity. A theoretical model shows that the benefit of competition through wider order exposure is mitigated by a winner's curse problem and dealer-customer relationships. Consistent with the model, we find that order size, market conditions, and customer-dealer relationships are important empirical determinants of customers' choice of trading mechanism and dealers' liquidity provision.
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|a Article
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|t 10.1016/J.JFINECO.2020.03.008
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| 773 |
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|t Journal of Financial Economics
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