The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis

Detalhes bibliográficos
Autor(a) principal: Ritter, Marie Sarina
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/127264
Resumo: By creating an additional layer of market-making power that absorbs liquidity shocks and improving price discovery for bonds, I find empirical evidence that fixed-income ETF Owner-ship decreases the volatility of the ETFs’ underlying securities. This effect is especially high for high yield bonds and during times of market distress. Moreover, I find evidence that the negative relationship between ETF Ownership and volatility only applies to particularly illiquid bonds. In contrast, equity ETF Ownership increases the volatility of the ETF baskets’ underlying stocks. The difference arises from the substantially different way the assets are traded: Over-the-Counter versus centralized exchange.
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spelling The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysisExchange traded fundsBondsVolatilityFixed incomeReturnsDomínio/Área Científica::Ciências Sociais::Economia e GestãoBy creating an additional layer of market-making power that absorbs liquidity shocks and improving price discovery for bonds, I find empirical evidence that fixed-income ETF Owner-ship decreases the volatility of the ETFs’ underlying securities. This effect is especially high for high yield bonds and during times of market distress. Moreover, I find evidence that the negative relationship between ETF Ownership and volatility only applies to particularly illiquid bonds. In contrast, equity ETF Ownership increases the volatility of the ETF baskets’ underlying stocks. The difference arises from the substantially different way the assets are traded: Over-the-Counter versus centralized exchange.Ottonello, GiorgioRUNRitter, Marie Sarina2023-01-03T01:32:12Z2021-01-192020-01-032021-01-19T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/127264TID:202740951enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:07:20Zoai:run.unl.pt:10362/127264Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:46:05.769580Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis
title The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis
spellingShingle The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis
Ritter, Marie Sarina
Exchange traded funds
Bonds
Volatility
Fixed income
Returns
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis
title_full The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis
title_fullStr The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis
title_full_unstemmed The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis
title_sort The impact of fixed-income Etfs on the volatility of bond prices - an empirical analysis
author Ritter, Marie Sarina
author_facet Ritter, Marie Sarina
author_role author
dc.contributor.none.fl_str_mv Ottonello, Giorgio
RUN
dc.contributor.author.fl_str_mv Ritter, Marie Sarina
dc.subject.por.fl_str_mv Exchange traded funds
Bonds
Volatility
Fixed income
Returns
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Exchange traded funds
Bonds
Volatility
Fixed income
Returns
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description By creating an additional layer of market-making power that absorbs liquidity shocks and improving price discovery for bonds, I find empirical evidence that fixed-income ETF Owner-ship decreases the volatility of the ETFs’ underlying securities. This effect is especially high for high yield bonds and during times of market distress. Moreover, I find evidence that the negative relationship between ETF Ownership and volatility only applies to particularly illiquid bonds. In contrast, equity ETF Ownership increases the volatility of the ETF baskets’ underlying stocks. The difference arises from the substantially different way the assets are traded: Over-the-Counter versus centralized exchange.
publishDate 2020
dc.date.none.fl_str_mv 2020-01-03
2021-01-19
2021-01-19T00:00:00Z
2023-01-03T01:32:12Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/127264
TID:202740951
url http://hdl.handle.net/10362/127264
identifier_str_mv TID:202740951
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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