Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2021 erstellt
Beschreibung:
We examine a link between a bond ETF and the underlying bond market liquidity. Using daily creation and redemption data for the HYG ETF, we find that including a bond on the HYG ETF’s creation or redemption lists has a favorable impact on the bond’s liquidity. This impact is stronger on stress days for redemptions but not for creations. Our results suggest that ETF mispricing arbitrage explains the improvement in high-yield bond liquidity. However, consistent with Pan and Zeng (2019), we also find evidence that transaction costs and inventory management limit the ETF arbitrage especially for creations