Author: Minchen ZhengPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This chapter aims to fill this gap by providing the first empirical evidence of bond return comovement driven by bond ETFs ownership. I find that bond ownership by corporate bond ETFs leads to higher bond return comovement, an increase of 0.26 in the beta of corporate bond return with respect to the aggregate bond portfolio. In contrast, bond ownership by other traditional institutional investors in the corporate bond market like bond mutual funds and insurance companies do not contribute to corporate bond return comovement. Furthermore, this chapter highlights that return comovement is driven by corporate bond ETFs’ creation and redemption activities.