Title: Credit Default Swaps: does the traded volume influence research interest?
Authors: Karin Martin-Bujack - Universidad Pontificia Comillas (Spain) [presenting]
M Teresa Corzo - Universidad Pontificia Comillas (Spain)
Isabel Figuerola-Ferretti - Universidad Pontificia Comillas (Spain)
Abstract: The 21st century witnessed an extraordinary boom in the CDS market. The increased popularity of CDS instruments as investment and hedging vehicles has seen a parallel development in the CDS research literature. This paper exploits the results of a search on title textual analysis to explore interactions between CDS aggregate trading volumes and the number of CDS research articles. We find evidence of strong co-movement over the 2001-2010 period which is illustrated by means of a cointegration and informational leadership analysis. We additionally document the effects of the 2010 Dodd Frank Act reforms in the level of trading activity. While there is a decreasing trend in volumes traded over the second sample period, the level of research interest remains significant. We contend that the academic literature aims to contribute to the regulation policy debate involving position limits in the CDS market.