Authorised participants as shock absorbers in fixed-income ETFs

Finance Research Letters - Tập 55 - Trang 103897 - 2023
Matteo Aquilina1, Karen Croxson2, Gian Giacomo Valentini3, Zhuowei Sun4
1Bank for International Settlement, Centralbahnplatz 2, Basel, 4051, Switzerland
2Financial Conduct Authority, 12 Endeavour Square, London, E201JUN, United Kingdom
3Bank of England, Threadneedle Street, London EC2R 8AH, United Kingdom
4Legal & General Investment Management, 1 Coleman Street, London, EC2R 5AA, United Kingdom

Tài liệu tham khảo

Aquilina, 2020, Fixed income ETFs: primary market participation and resilience of liquidity during periods of stress, Econ. Lett. Central Bank of Ireland, 2017. “Exchange Traded Funds,” Discussion Paper, May. Dannhauser, 2017, The impact of innovation: evidence from corporate bond exchange-traded funds (ETFs), J. Financ. Econ., 125, 537, 10.1016/j.jfineco.2017.06.002 Holden, C.W., Nam, J., 2019. “Market accessibility, corporate bond ETFs, and liquidity”, Working paper. Morning Star (2017), “A guided tour of European ETF marketplace”, February. Pan, K., Zeng, Y., 2017. “ETF arbitrage under liquidity mismatch”, ESRB Working Paper Series 59, European Systemic Risk Board, December. Ye, Shuai 2019, “How do ETFs affect the liquidity of the underlying corporate bonds?” Working paper.