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Pan, Kevin; Zeng, Yao - 2017

provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the … fragility of these ETFs. We focus on corporate bond ETFs and examine the role of authorized participants (APs) in ETF arbitrage …. In addition to their role as dealers in the underlying bond market, APs also play a unique role in arbitrage between the …

Persistent link: https://www.econbiz.de/10011978386

How does risk flow in the credit default swap market?

D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomo; … - 2016

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...

Persistent link: https://www.econbiz.de/10011975749

Use of credit default swaps by UCITS funds : evidence from EU regulatory data

Guagliano, Claudia; Mazzacurati, Julien; Kenny, Oisin; … - 2019

Using a sample of more than 18,000 Undertakings for Collective Investment in Transferable Securities,or UCITS, this paper aims to provide a first overview of the use of credit default swaps by EU UCITS funds. We show that UCITS funds only account for a small share of the overall EU credit...

Persistent link: https://www.econbiz.de/10012017692

US long term interest rates and capital flows to emerging economies

Olaberria, Eduardo - 2014

Following Chairman Ben Bernanke’s comments before Congress that the FOMC may ‘take a step down in the pace of asset purchases if economic improvement appears to be sustained’, US 10-year interest rates picked up sharply and gross capital flows to emerging market economies (EMEs) reversed....

Persistent link: https://www.econbiz.de/10010464962

Disentangling euro area portfolios : new evidence on cross-border securities holdings

Rousová, Linda; Rodríguez Caloca, Antonio - 2018

This paper presents a detailed set of new, quantity-based indicators of financial integration in the euro area. The indicators are based on granular data from securities holdings statistics and help us disentangle the main drivers of the portfolio changes observed since the financial crisis....

Persistent link: https://www.econbiz.de/10011857118

Dark pools in European equity markets : emergence, competition and implications

Petrescu, Monica; Wedow, Michael - 2017

This paper considers the growth of dark pools: trading venues for equities without pre-trade transparency. It first documents the emergence and expansion of dark pools in European equity markets in the context of regulatory changes and increased high-frequency trading (HFT). It finds that the...