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【Seminar】財金系 12/14 (四) 中午 12:30 邀請 Dr. Yoon Kang Lee 演講
活動起日:2017-12-14 
發佈日期:2017-12-06 
瀏覽數:97  2017-12-06 更新

本系擬於 12/14 () 邀請 Dr. Yoon Kang Lee 至本所進行專題演講,相關訊息如下:

 

【演講訊息】

時間: 12/14 () 12:30-14:00

地點: 管理學院一號館八樓財金系會議室

講者: Dr. Yoon Kang Lee

講題: Corporate Bond ETF Inceptions and Liquidity of the Underlying Bonds

 

Abstract:

I study the impact of corporate bond ETF introductions on the liquidity of underlying bonds. I test the adverse selection and the arbitrage hypotheses which predicI study the impact of corporate bond ETF introductions on the liquidity of underlying bonds. I test the adverse selection and the arbitrage hypotheses which predict opposite effects of ETF introductions on-underlying bonds. Consistent with the opposing predictions identified by theory, my overall results do not support either hypothesis in isolation. Examining differences in cross-sectional predictions of the hypotheses, I test the ETF-liquidity effect separately for high-yield and investment-grade instruments. In the investment-grade market, where the effect of the liquidity trader migration should be large, ETF bonds experience an additional decrease in trading intensity following the ETF inceptions, as predicted by the adverse selection hypothesis. By contrast, in the high-yield market where the effect of improvement in informational efficiency should be large, underlying bonds experience an additional increase in trading intensity following the ETF inceptions, confirming the countervailing liquidity effects of the ETF introduction. The positive ETF-liquidity effect in the high-yield market mainly appears for bonds where ETFs own a higher proportion, while the negative ETF-liquidity effect in the investment-grade market is less dependent upon ETF ownership.