This paper sheds new light on the liquidity dynamics of the credit default swaps (CDS) market in Europe around the Subprime crisis. Based on an original dataset of 94 European companies from 2005 to 2009, we use a panel regression analysis to study the relationship between CDS premiums and...

This paper analyzes the behavior of players in experimental double auction markets. We show that the "diagonal effect", a well-known phenomenon observed in real markets, also shows up in experimental markets and is mainly due to order splitting.