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Essays on CDS liquidity

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TitleInfo
Title
Essays on CDS liquidity
Name (type = personal)
NamePart (type = family)
Wang
NamePart (type = given)
Xinjie
NamePart (type = date)
1978-
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Xinjie Wang
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RoleTerm (authority = RULIB)
author
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NamePart (type = family)
Wu
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Yangru
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Yangru Wu
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Advisory Committee
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chair
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Yan
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Hongjun
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Hongjun Yan
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Advisory Committee
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internal member
Name (type = personal)
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Zhong
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Zhaodong (Ken)
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Zhaodong (Ken) Zhong
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Advisory Committee
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internal member
Name (type = personal)
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Chen
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Ren-Raw
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Ren-Raw Chen
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Advisory Committee
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outside member
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Rutgers University
Role
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degree grantor
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Graduate School - Newark
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school
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Text
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theses
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2016
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2016-05
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2016
Place
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xx
Language
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eng
Abstract (type = abstract)
The 2008 financial crisis is characterized by simultaneously drying up of liquidity across financial markets. It is critical to understand how liquidity was determined during the crisis. This dissertation focuses on liquidity properties in the Credit Default Swap (CDS) market mainly for two reasons. First CDS has been criticized for intensifying the systemic risk during the crisis. The size of the CDS market is so large that any large change in the CDS market could impose systemic risk to the entire financial system. Second CDS liquidity is less well studied in the literature. The first part of this dissertation investigates the implications of funding liquidity on liquidity, CDS-bond basis and volatility in the CDS market using a natural experiment comprised of a trading convention change in the CDS Big Bang (the protocol changes for the CDS market in April 2009). The findings provide direct evidence that a higher funding requirement reduces market liquidity, increases the absolute value of the CDS-bond basis, and CDS spread volatility and highlight an unintended consequence of the ongoing standardization of OTC markets—while its intention is to reduce systemic risk, standardization may significantly jeopardize market liquidity precisely during periods of financial distress. The second part of this dissertation examines the cross-market dynamics in marketwide illiquidity of the stock, bond and CDS markets for a long period of time spanning the 2008 financial crisis using a VAR framework. The correlations between the marketwide illiquidity measures of the three markets have been increasing since the onset of the 2008 financial crisis. Furthermore, the CDS market liquidity Granger causes the stock and bond market liquidity after the crisis. These findings suggest that financial regulations and changes in market infrastructure have significant effects on market liquidity.
Subject (authority = RUETD)
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Management
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Title
Rutgers University Electronic Theses and Dissertations
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ETD_7306
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electronic resource
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application/pdf
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text/xml
Extent
1 online resource (xi, 91 p. : ill.)
Note (type = degree)
Ph.D.
Note (type = bibliography)
Includes bibliographical references
Subject (authority = ETD-LCSH)
Topic
Credit derivatives
Subject (authority = ETD-LCSH)
Topic
Swaps (Finance)
Subject (authority = ETD-LCSH)
Topic
Liquidity (Economics)
Note (type = statement of responsibility)
by Xinjie Wang
RelatedItem (type = host)
TitleInfo
Title
Graduate School - Newark Electronic Theses and Dissertations
Identifier (type = local)
rucore10002600001
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NjNbRU
Identifier (type = doi)
doi:10.7282/T36112JP
Genre (authority = ExL-Esploro)
ETD doctoral
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Rights

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The author owns the copyright to this work.
RightsHolder (type = personal)
Name
FamilyName
Wang
GivenName
Xinjie
Role
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RightsEvent
Type
Permission or license
DateTime (encoding = w3cdtf); (qualifier = exact); (point = start)
2016-04-20 19:37:39
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Name
Xinjie Wang
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Affiliation
Rutgers University. Graduate School - Newark
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Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
RightsEvent
DateTime (encoding = w3cdtf); (qualifier = exact); (point = start)
2016-05-31
DateTime (encoding = w3cdtf); (qualifier = exact); (point = end)
2017-05-31
Type
Embargo
Detail
Access to this PDF has been restricted at the author's request. It will be publicly available after May 31st, 2017.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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