I want to replicate a research

I was reading through this news article here. In that article it had this claim.

" After dissecting more than 10,000 corporate bonds, Efe Cotelioglu found that high-grade securities share similar liquidity characteristics when they are heavily owned by exchange-traded funds. "

I have the computing power and the historical intraday data of almost all fixed income securities and ETFs. How would I go about looking this? I was thinking of identify the covariance between ETFs' securities and other securities. Anything would be much appreciated.

Submitted October 15, 2020 at 04:28PM by dial0663
via https://ift.tt/3kgLhyR

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s