Anatomy of a liquidity crisis: Corporate bonds in the COVID-19 crisis

• Published in: Journal of financial economics Vol. 142; no. 1; pp. 46 - 68
• Main Authors: O'Hara, Maureen, Zhou, Xing (Alex)
• Format: Journal Article
• Language: English
• Published: Netherlands Elsevier B.V 01.10.2021; Elsevier Sequoia S.A
• Subjects: Bonds; Corporate bonds; COVID-19; Crises; Customer-to-customer; Economic crisis; Electronic trading; Liquidity; Liquidity crisis; Market maker of last resort; Microstructure; PDCF; SMCCF; Trading; Transaction costs; COVID-19; Market maker of last resort; PDCF; Corporate bonds; Liquidity crisis; G21; G24; SMCCF; G23; Customer-to-customer; G14; Electronic trading

We examine the microstructure of liquidity provision in the COVID-19 corporate bond liquidity crisis. During the two weeks leading up to Federal Reserve System interventions, volume shifted to liquid securities, transaction costs soared, trade-size pricing inverted, and dealers, particularly non-pri...