Execution and Exchanges - Articles & White Papers

COVID-19 has reminded investors of the importance of defensive positions within portfolios during times of stress. But are the ‘safe havens’ of the past still up to the task?

The investment world is changing at an ever-increasing pace and the coronavirus crisis has highlighted the need for further evolution. As the financial services industry grapples with increased cost, competition, multinationals face jurisdictional complexity and pension plans encounter governance challenges, the case for…

Across the industry, demand for cross-asset electronic trading (XAET) is rapidly increasing. This paper offers a look at how XAET works as it moves from trading desk to implementation, and what happens along the way.

The authors study liquidity conditions in the corporate bond market since the onset of the COVID-19 pandemic. The authors find that in mid-March 2020, as selling pressure surged, dealers were wary of accumulating inventory on their balance sheets, perhaps out of concern for violating regulatory requirements. As a result, the…

This report documents how the European investment grade corporate bond secondary market performed during the last weeks of February through March and April 2020. Drawing on interviews and surveys of sell-side and buy-side market participants, as well as market data and analysis, it attempts to identify the key themes and…

Neal Rayner, Head of U.S. Fixed Income Trading, manages a team of bond traders covering investment-grade and high-yield corporate bonds, structured finance and the interest rate markets. Here, he reflects on his many decades of experience trading through various crises to explain what a “liquidity collapse” means and…

This Quarterly report covers: international capital markets, regulation, primary markets, secondary markets, repo and collateral markets, bond markets, ESG themes, asset management, fintech, and ICMA research pieces. A Covid-19 special section is included.

Using the setting of funds of hedge funds (FoFs), we show that prime brokers (PBs) facilitate investors' search for informed hedge fund managers. We find that FoFs exhibit PB bias, a disproportionate preference for hedge funds serviced by their connected PBs. This PB bias is stronger when the cost of hedge fund due…

Tax-efficiency has become an important factor for fund performance in recent years – particularly for pension funds that suffer too much withholding tax (WHT) on the dividends of their pooled equity investments. This is because UK pension schemes, as tax-exempt investors, are entitled to reduced WHT on dividends from global…

Bond Connect opened another channel into China's onshore fixed income markets to global investors when it began on July 3, 2017. Here we explain in detail how Bond Connect works, what benefits it offers investors, and how it has performed

State Street hosted a roundtable in which they discussed what have been the biggest challenges for asset managers and what lessons they have drawn from the new abnormal.

Using transaction data in the first quarter of 2020, we examine the reaction of corporate credit spreads to the Federal Reserve's monetary policy announcement. The response of credit spreads, stock returns and bond illiquidity measures is consistent with the default risk channel of monetary policy in which the central…

The emergence of crypto-assets is an important area of interest for regulatory authorities, including those with authority over secondary markets and the trading platforms that facilitate the secondary trading of crypto-assets (Crypto-asset Trading Platforms or CTPs). The aim of this Final Report is to assist IOSCO members…

A study of sigma events using the daily returns of the S&P 500 Index throughout history.

As the decade turns, we reflect on nearly thirty years of successful manipulation of the world's public equity markets. This reflection highlights a few of the key enabling ingredients and lessons learned along the way. A quantitative understanding of market impact and its decay, which we cover briefly, lets you move…

Using a measure of transmissioni latency between exchanges in Frankfurt and London and exploiting speed-inducing technological upgrades, the authors investigate the impact of international transmission latency on liquidity and volatility.

What is the likelihood of market crashes? This article seeks to provide an answer to this and related questions by focusing mainly on the crash of October 1987. The author seeks answers to three questions. Given the history of market returns, was the crash of ‘87 unusual? How do conditional variance models (such as GARCH)…

Take a closer look at how the S&P/ASX Indices held up in Q1 and the role the index ecosystem plays in supporting liquid access to Australian markets with S&P DJI’s Sherifa Issifu.