Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 9, 2019 erstellt
Description:
Prior to May 22, 2017, trading information displayed on certain days of the week and on days prior to market-closed holidays required investors in Chinese exchange-traded repos to infer repos' actual maturities to place orders at appropriate rates. Repo rates on these days exhibited remarkable seasonalities. On May 22, 2017, the displayed information was modified such that investors no longer had to infer actual maturities. Thereafter, the seasonalities disappeared. We ascribe the seasonalities to investors employing an ease-of-processing heuristic that failed to decipher repos' actual maturities. Disappearance of the “mispricing” gives greater assurance to investors of earning competitive repo rates