• 【光华讲坛】Are Hedgers Favored in Derivatives Markets? Evidence from CDS Transactions (套期保值者在衍生品市场中会更受青睐吗?来自CDS交易的经验证据)
    发布时间:2021-03-23 查看次数:

    光华讲坛


    主题:Are Hedgers Favored in Derivatives Markets? Evidence from CDS Transactions

    (套期保值者在衍生品市场中会更受青睐吗?来自CDS交易的经验证据)

    主讲人:对外经济贸易大学金融学院 施一宁 博士

    主持人:葡京体育平台 田思杨 副教授

    时间:2021年3月25日,11:00-12:30

    直播平台及会议ID:腾讯会议:732 670 922

    主办单位:葡京体育平台 科研处

    主讲人简介

    施一宁博士现任对外经济贸易大学金融学院助理教授,2016年获得伦敦帝国理工金融学博士学位。此前获得了伦敦帝国理工金融工程与风向管理硕士学位和诺丁汉大学金融会计与管理学士学位。施一宁的研究领域主要包括信用风险,中国房地产与对外开放。她在Journal of Financial Markets, European Financial Management 等国际学术期刊上发表过多篇论文, 并主持国家自然科学基金1项。

    内容提要

    运用CDS交易数据,我们发现套期保值者的CDS利差要低于投机者的利差。换言之,对于购买来自同一卖家同一产品的两位投资者,购买CDS用于套期保值的投资者可以获得更优惠的价格。获得价格优惠的套期保值者从2008-2009的金融危机后开始增加。价格优惠在经纪人-客户交易以及更波动的市场中更为显著。我们的发现给投机者价格歧视提供了经验证据。投机者价格歧视是场外交易市场的一个普遍假设。同时,我们的发现不是源于交易员的老道经验或者持有相对应底层债务而获得的私有信息。总而言之,我们的结果揭示了套期保值者在CDS市场中更受青睐,同时危机后监管让CDS交易中的“裸奔”(投机者)交易变得更为昂贵。

    Using CDS transaction-level data, we document that CDS spread is lower for hedgers than for speculators. That is, for two investors who buy CDS on the same reference name from the same CDS seller, the one who buys CDS for hedging receives a more favorable price than the other for speculation. The price discount hedgers started to emerge after the 2008-09 credit crisis. The price discount is more pronounced in dealer-to-client trading, and in more volatile markets. Our findings provide evidence for price discrimination against speculators, a common assumption made in the over-the-counter derivatives literature. Meanwhile, our finding is not explained by trader sophistication or private information from holding the reference debt. Overall, our results suggest that hedgers are favored in the CDS market, and the post-crisis regulations on CDS trading may have led ‘naked’ CDS transaction to be more expensive.


    葡京体育平台-官网