ETFs, Creation and Redemption Processes, and Bond Liquidity
研究债券ETF的创设与赎回过程对标的债券流动性的影响，发现纳入篮子能改善流动性，且赎回影响更强，ETF错误定价套利是原因，但交易成本和库存管理会限制套利。
Abstract We examine a link between bond exchange-traded fund (ETF) creation and redemption processes and the underlying bond market liquidity. Using daily creation and redemption data, we find that including a bond in a creation or redemption basket has a favorable impact on the bond’s liquidity for both high-yield and investment-grade markets. The improvement in liquidity persists during times of market stress with this impact being stronger for redemptions than creations. Our results suggest that ETF mispricing arbitrage explains the improvement in bond liquidity. However, we also find evidence that transaction costs and bond inventory management limit the ETF arbitrage.