Fixed income ETFs: Primary market participation and resilience of liquidity during periods of stress

摘要

Using a unique transactions dataset, we present initial facts about participation in ETF primary markets and an analysis of the behaviour of liquidity providers in times of stress. We find that ETF primary markets are highly concentrated, particularly for fixed income. However, our preliminary analysis of stress events provides some evidence that alternative liquidity providers 'step up' during times of market disruption. (C) 2020 Elsevier B.V. All rights reserved.