Transparency and Liquidity in the Structured Product Market

50 Pages Posted: 1 Sep 2012 Last revised: 5 Nov 2014

See all articles by Nils Friewald

Nils Friewald

Norwegian School of Economics (NHH); Centre for Economic Policy Research (CEPR)

Rainer Jankowitsch

WU (Vienna University of Economics and Business); Vienna Graduate School of Finance (VGSF)

Marti G. Subrahmanyam

New York University (NYU) - Leonard N. Stern School of Business

Date Written: October 15, 2014

Abstract

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity effects in the US structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and the potential degree of disclosure. We provide evidence that transaction cost measures that use dealer-specific information can be efficiently proxied by measures that use less detailed information. In addition, we analyze liquidity, in general, and show that securities that are mainly institutionally traded, guaranteed by a federal authority, or have low credit risk, tend to be more liquid.

Keywords: liquidity, structured products, OTC markets, transparency, TRACE

JEL Classification: G12, G14

Suggested Citation

Friewald, Nils and Jankowitsch, Rainer and Subrahmanyam, Marti G., Transparency and Liquidity in the Structured Product Market (October 15, 2014). Available at SSRN: https://ssrn.com/abstract=2139310 or http://dx.doi.org/10.2139/ssrn.2139310

Nils Friewald

Norwegian School of Economics (NHH) ( email )

Helleveien 30
Bergen, NO-5045
Norway

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Rainer Jankowitsch (Contact Author)

WU (Vienna University of Economics and Business) ( email )

Welthandelsplatz 1
Vienna, Vienna AT1020
Austria
+43 1 31 336 4340 (Phone)
+43 1 310 0580 (Fax)

Vienna Graduate School of Finance (VGSF) ( email )

Welthandelsplatz 1
Vienna, 1020
Austria

Marti G. Subrahmanyam

New York University (NYU) - Leonard N. Stern School of Business ( email )

44 West 4th Street
Suite 9-160
New York, NY NY 10012
United States

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