1 resultado para default hypothesis
em Repositório Científico da Universidade de Évora - Portugal
Filtro por publicador
- Aberdeen University (2)
- Aberystwyth University Repository - Reino Unido (1)
- Academic Archive On-line (Stockholm University; Sweden) (1)
- Academic Research Repository at Institute of Developing Economies (1)
- Adam Mickiewicz University Repository (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (3)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (4)
- Andina Digital - Repositorio UASB-Digital - Universidade Andina Simón Bolívar (2)
- Archive of European Integration (2)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (3)
- Aston University Research Archive (20)
- Biblioteca de Teses e Dissertações da USP (1)
- Biblioteca Digital - Universidad Icesi - Colombia (1)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (8)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (3)
- Biblioteca Digital de la Universidad Católica Argentina (1)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (2)
- Bibloteca do Senado Federal do Brasil (5)
- Biodiversity Heritage Library, United States (1)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (44)
- Boston University Digital Common (3)
- Brock University, Canada (4)
- Bucknell University Digital Commons - Pensilvania - USA (2)
- Bulgarian Digital Mathematics Library at IMI-BAS (5)
- Cambridge University Engineering Department Publications Database (18)
- CentAUR: Central Archive University of Reading - UK (38)
- Central European University - Research Support Scheme (1)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (9)
- Collection Of Biostatistics Research Archive (2)
- Deakin Research Online - Australia (60)
- Department of Computer Science E-Repository - King's College London, Strand, London (2)
- Digital Commons at Florida International University (23)
- Digital Peer Publishing (1)
- DigitalCommons@University of Nebraska - Lincoln (2)
- Duke University (6)
- Düsseldorfer Dokumenten- und Publikationsservice (1)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (2)
- eScholarship Repository - University of California (1)
- Greenwich Academic Literature Archive - UK (1)
- Helda - Digital Repository of University of Helsinki (5)
- Illinois Digital Environment for Access to Learning and Scholarship Repository (1)
- Indian Institute of Science - Bangalore - Índia (11)
- Infoteca EMBRAPA (1)
- Instituto Gulbenkian de Ciência (1)
- Massachusetts Institute of Technology (2)
- Memoria Académica - FaHCE, UNLP - Argentina (6)
- Ministerio de Cultura, Spain (2)
- National Center for Biotechnology Information - NCBI (22)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (6)
- Portal de Revistas Científicas Complutenses - Espanha (2)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (30)
- Queensland University of Technology - ePrints Archive (426)
- Repositorio Academico Digital UANL (1)
- Repositório Alice (Acesso Livre à Informação Científica da Embrapa / Repository Open Access to Scientific Information from Embrapa) (1)
- Repositório Científico da Universidade de Évora - Portugal (1)
- Repositório digital da Fundação Getúlio Vargas - FGV (37)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (18)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (4)
- School of Medicine, Washington University, United States (1)
- Universidad Autónoma de Nuevo León, Mexico (1)
- Universidad del Rosario, Colombia (8)
- Universidad Politécnica de Madrid (4)
- Universidade Federal do Rio Grande do Norte (UFRN) (1)
- Universidade Metodista de São Paulo (1)
- Universidade Técnica de Lisboa (1)
- Université de Lausanne, Switzerland (2)
- Université de Montréal (1)
- Université de Montréal, Canada (6)
- University of Canberra Research Repository - Australia (1)
- University of Connecticut - USA (4)
- University of Michigan (12)
- University of Queensland eSpace - Australia (23)
- University of Southampton, United Kingdom (2)
- University of Washington (4)
- WestminsterResearch - UK (1)
Resumo:
This article addresses the effects of the prohibition against naked CDS buying implemented by the European Union in November 2012. Three aspects of market quality are analyzed: liquidity, volatility, and price informativeness. Overall, our results suggest that the ban produced negative effects on liquidity and price informativeness. First, we find that in territories within the scope of the EU regulation, the bid–ask spreads on sovereign CDS contracts rose after the ban, but fell for countries outside its bounds. Open interest declined for both groups of CDS reference entities in our sample, but significantly more in the constraint group. Price delay increased more prominently for countries affected by the ban, whereas price precision decreased for these countries while increasing for CDSs written on other sovereign reference entities. Most notably, our findings indicate that hese negative effects were more pronounced amid reference entities exhibiting lower credit risk. With respect to volatility, the evidence suggests that the ban was successful in stabilizing the CDS market in that volatility decreased, particularly for contracts written on riskier CDS entities.