Informed trading in government bond markets

• 成果类型: Article
• 署名作者: Czech, Robert; Huang, Shiyang; Lou, Dong; Wang, Tianyu
• 署名单位: Bank of England; University of Hong Kong; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Tsinghua University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.049
• 发表日期: 2021
• 页码: 1253-1274
• 关键词: Government bonds; Informed trading; Return predictability; Asset managers

摘要

Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers virtually all secondary market trading in gilts and contains detailed information on each transaction, including the identities of both counterparties. We find that hedge funds' daily trading positively forecasts gilt returns in the following one to five days, which is then fully reversed in the following month. A part of this short-term return predictability is due to hedge funds' ability to predict other investors' future demand. Mutual fund trading also positively predicts gilt returns, but over a longer horizon of one to two months. This return pattern does not revert in the following year and is partly due to mutual funds' ability to forecast changes in short-term interest rates. (c) 2021 Elsevier B.V. All rights reserved.