This paper documents that in distress periods, liquidity constrained investors sell liquid corporate bonds and hold onto illiquid ones, a phenomenon which we refer to as flight from liquidity. Performing within issuer-time analysis to properly control for credit risk, we find that flight from...

We employ the Markov Regime-Switching GARCH (MRS- GARCH) family models under the normal, Student's t-, and GED distributions to measure the uncertainty of the industry index returns (IIR) of Tehran Stock Exchange over the period of 2013-2019. The models distinguish between two different regimes...

Relative to mutual funds, the innovative features of ETFs attract high liquidity demand investors who engage in positive feedback strategies and transmit selling pressure to the underlying via near proportional trading. In a turmoil period we find evidence that ETFs destabilize the systemically...

We employ the Markov Regime-Switching GARCH (MRS- GARCH) family models under the normal, Student's t-, and GED distributions to measure the uncertainty of the industry index returns (IIR) of Tehran Stock Exchange over the period of 2013-2019. The models distinguish between two different regimes...

Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policymakers that large redemptions will lead to asset fire sales. We find little evidence, however, that bond fund redemptions drive fire sale price pressure after controlling for time-varying...