Exchanges for Government Bonds? Evidence During COVID-19
利用以色列政府债券在交易所交易而非场外交易的特点，研究交易所是否及为何能在危机中提升市场流动性，通过双重差分分析发现交易所确实增强了流动性，原因在于投资者能互相提供流动性并高效轧差交易流。
We leverage the unique institutional feature that the Israeli government bond market operates on an exchange rather than over-the-counter to analyze whether and why having an exchange affects market liquidity during a crisis. We document how the liquidity crisis in March 2020 affected the Israeli government bond market and conduct difference-in-differences analyses, comparing bid-ask spreads in exchange markets, such as the Israeli government bond market, with markets lacking an exchange. Our findings support the idea that having an exchange enhances market liquidity. A counterfactual analysis using trade data from the Israeli exchange suggests that this is due to the ability of investors to readily provide liquidity to one another and the efficient netting of trade flows on an exchange. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The online appendices and data files are available at https://doi.org/10.1287/mnsc.2023.02344 .