Huang, Shiyang
[Verfasser:in]
;
Jiang, Wenxi
[Sonstige Person, Familie und Körperschaft];
Liu, Xiaoxi
[Sonstige Person, Familie und Körperschaft];
Liu, Xin
[Sonstige Person, Familie und Körperschaft]
Does Liquidity Management Induce Fragility in Treasury Prices
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 11, 2020 erstellt
Beschreibung:
Bond mutual funds holding illiquid assets (e.g., corporate bonds) actively manage their positions in Treasuries to buffer redemption shocks. We argue and show supporting evidence that this liquidity management practice can induce fragility in Treasury prices. We find that Treasury pairs commonly held by bond funds exhibit higher return comovement than pairs with little fund common ownership. This effect is more pronounced during downside markets or when funds experience large outflows, but is weak for corporate bond pairs. We address endogeneity concerns by exploiting two plausibly exogenous events: the outbreak of COVID-19 and the 2003 mutual fund scandal