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The Trading Dynamics of Corporate Bonds and Bond ETFs.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	The Trading Dynamics of Corporate Bonds and Bond ETFs./
Author:	Pan, Cindy.
Description:	1 online resource (193 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 86-01, Section: A.
Contained By:	Dissertations Abstracts International86-01A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798383195710

The Trading Dynamics of Corporate Bonds and Bond ETFs.
Pan, Cindy.

The Trading Dynamics of Corporate Bonds and Bond ETFs. - 1 online resource (193 pages)

Source: Dissertations Abstracts International, Volume: 86-01, Section: A.

Thesis (Ph.D.)--The University of Mississippi, 2024.

Includes bibliographical references

We find trading dynamics in bond ETFs and equity ETFs to be different. Although lit trading activity in equity ETFs is greater than bond ETFs, hidden liquidity in bond ETFs is significantly higher than in equity ETFs. Dark trading volume in bond ETFs is also greater than dark trading volume in equity ETFs. Results are robust to an out-of-sample test and is not driven by a specific exchange or specific types of bond ETFs. The extensive use of hidden and dark liquidity for bond ETFs relative to equity ETFs indicates that demand for opaquely trading bond ETFs has value to traders, which may be due to no pre-trade transparency in the underlying bond markets.We examines how corporate bonds trade as a response to corporate events that usually come to the market as a surprise. Such unscheduled corporate events include CEO turnovers, dividend changes, mergers and acquisitions (M&As), stock repurchases, seasoned equity offerings (SEOs), spin-offs, stock splits, and ticker symbol changes. Although some eventsresulted in an increase in corporate bond trading activity, some events did not drastically change the trading activity of their firms' bonds. Overall, bond traders react to dividend change announcements, M&A announcements, repurchase announcements, SEO announcements, and spin-off events, but not to CEO turnover events, stock splits, and stock ticker changes.We investigate how convertible bonds trade when the option to convert the convertible bond is in-the-money. Empirical results show trading activity in convertible bonds increase when the option is in-the-money. We examine whether in-the-money convertible bonds lead to a spillover effect on a firm's other bonds and find an increase in trading activity in those other bonds. We explore the equity market's reactions to when convertible bonds are convertible and find increases in trading activity (lit and hidden liquidity).

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798383195710Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Convertible bondsIndex Terms--Genre/Form:

554714
Electronic books.

The Trading Dynamics of Corporate Bonds and Bond ETFs.
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520 $a We find trading dynamics in bond ETFs and equity ETFs to be different. Although lit trading activity in equity ETFs is greater than bond ETFs, hidden liquidity in bond ETFs is significantly higher than in equity ETFs. Dark trading volume in bond ETFs is also greater than dark trading volume in equity ETFs. Results are robust to an out-of-sample test and is not driven by a specific exchange or specific types of bond ETFs. The extensive use of hidden and dark liquidity for bond ETFs relative to equity ETFs indicates that demand for opaquely trading bond ETFs has value to traders, which may be due to no pre-trade transparency in the underlying bond markets.We examines how corporate bonds trade as a response to corporate events that usually come to the market as a surprise. Such unscheduled corporate events include CEO turnovers, dividend changes, mergers and acquisitions (M&As), stock repurchases, seasoned equity offerings (SEOs), spin-offs, stock splits, and ticker symbol changes. Although some eventsresulted in an increase in corporate bond trading activity, some events did not drastically change the trading activity of their firms' bonds. Overall, bond traders react to dividend change announcements, M&A announcements, repurchase announcements, SEO announcements, and spin-off events, but not to CEO turnover events, stock splits, and stock ticker changes.We investigate how convertible bonds trade when the option to convert the convertible bond is in-the-money. Empirical results show trading activity in convertible bonds increase when the option is in-the-money. We examine whether in-the-money convertible bonds lead to a spillover effect on a firm's other bonds and find an increase in trading activity in those other bonds. We explore the equity market's reactions to when convertible bonds are convertible and find increases in trading activity (lit and hidden liquidity).
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653 $a Corporate events
653 $a Exchange traded funds
653 $a Hidden liquidity
653 $a Market microstructure
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