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936. Investor activity in EFSF/ESM secondary bond markets
Invited abstract in session TC-57: Market dynamics and implications for portfolio decisions, stream Modern Decision Making in Finance and Insurance.
Tuesday, 12:30-14:00Room: S06 (building: 101)
Authors (first author is the speaker)
| 1. | Peter Schwendner
|
| Zhaw University |
Abstract
This study analyzes the secondary market dynamics of the European Financial Stability Facility (EFSF) and European Stability Mechanism (ESM) bonds from 2014 to 2020. Findings reveal increased activity of private sector investors, notably fund managers, with significant market risk exposure. The study examines the secondary bond market response to the initial impact of the COVID-19 crisis, observing investor behavior aligning with previous models of capital repatriation and subsequent re-entry. Additionally, it highlights a trend towards heightened activity in long-term market segments, spurred by a low yield environment, leading to the normalization of long maturities as liquid instruments. The paper also delves into the digitalization and automation of fixed income markets through electronic trading platforms, noting a gradual increase in electronic trading adoption, particularly among smaller ticket sizes. Despite this trend, central banks and public entities exhibit lower electronic trading shares, suggesting less pressure or motivation for adoption. Finally, the study explores the transaction network of primary dealers, revealing regional and institutional patterns that support liquidity maintenance strategies, emphasizing the role of local banks in stabilizing turnover volume and enhancing investor diversity across different trading platforms and countries.
Keywords
- Finance and Banking
- Graphs and Networks
- Analytics and Data Science
Status: accepted
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