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