Fixed income ETFs: Primary market participation and resilience of liquidity during periods of stress

Matteo Aquilina, Karen Croxson, Gian Giacomo Valentini and Lachlan Vass

Economics Letters, 2020, vol. 193, issue C

Abstract: Using a unique transactions dataset, we present initial facts about participation in ETF primary markets and an analysis of the behaviour of liquidity providers in times of stress. We find that ETF primary markets are highly concentrated, particularly for fixed income. However, our preliminary analysis of stress events provides some evidence that alternative liquidity providers ‘step up’ during times of market disruption.

Keywords: ETFs; Authorized participants; Primary markets; Liquidity; Financial stability (search for similar items in EconPapers)
JEL-codes: G G2 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301725

DOI: 10.1016/j.econlet.2020.109249

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