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Are All Credit Default Swap Databases Equal?

Author

Listed:
  • Sergio Mayordomo
  • Juan Ignacio Peña
  • Eduardo S. Schwartz

Abstract

We compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5†year CDS in the iTraxx and CDX indexes from 2004 to 2010. Deviations from the common trend among prices in the different databases are not random but are explained by idiosyncratic factors, financing costs, global risk, and other trading factors. The CMA quotes lead the price discovery process. Moreover, we find that there is not a full agreement among databases in the results of the price discovery analysis between stock and CDS returns.

Suggested Citation

  • Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2014. "Are All Credit Default Swap Databases Equal?," European Financial Management, European Financial Management Association, vol. 20(4), pages 677-713, September.
    • Handle: RePEc:bla:eufman:v:20:y:2014:i:4:p:677-713
    DOI: 10.1111/j.1468-036X.2013.12023.x
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    More about this item

    JEL classification:

    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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