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dc.contributor.authorMenkveld, Albert
dc.contributor.authorPagnotta, Emiliano
dc.contributor.authorZoican, Marius Andrei
dc.date.accessioned2016-01-11T10:42:01Z
dc.date.available2016-01-11T10:42:01Z
dc.date.issued2015
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/15307
dc.descriptionR&R at the Journal of Financial Economics
dc.language.isoenen
dc.subjectCentral clearing
dc.subjectprice stability
dc.subjectequity volatility
dc.subjectmargin requirement
dc.subjectcounterparty risk
dc.subjectliquidity
dc.subject.ddc332en
dc.subject.classificationjelG14en
dc.subject.classificationjelG18en
dc.subject.classificationjelG23en
dc.titleDoes Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherVU University Amsterdam
dc.contributor.editoruniversityotherImperial College London
dc.description.abstractenWe provide evidence of the effects of introducing a central clearing counterparty (CCP) on price stability by adopting as an experimental construct the 2009 clearing reform in three Nordic equity markets. We find that the daily price volatility of the affected equities experience an economically significant decline of 8.8% relative to pre-reform levels. The decrease in volatility is more pronounced for stocks with a higher margin cost impact, consistent with the predictions of dynamic asset pricing models. We also find that the reform induces a sharp decline of 9.8% in trade volume but no deterioration in market quality as captured by trading costs and information measures. Overall, our results suggest that the adoption of central clearing enhances price stability. Our results also suggest an important coordination role for policy in implementing clearing reforms, since investors failed to voluntarily clear trades in the CCP when given the option.
dc.publisher.cityParisen
dc.identifier.citationpages56
dc.relation.ispartofseriestitleTinbergen Institute Working Paper Series
dc.relation.ispartofseriesnumberTI 13-181 / IV / DSF67
dc.identifier.urlsitehttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2350762
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2016-10-26T14:32:13Z
hal.identifierhal-01253702*
hal.version1*
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