The Growing Index Effect in the Corporate Bond Market
Prof. Qifei ZHU
Assistant Professor of Finance
NUS Business School
National University of Singapore
Date: 17 November 2025 (Monday)
Time: 14:30-16:00
Venue: E22-G004
Host: Prof. Endong YANG, Associate Professor in Finance
Abstract
Leveraging transaction data and AI-powered price estimates, we show that index-driven trading, fueled by the rapid growth of investment funds in the corporate bond market, has reshaped market dynamics and liquidity. Whereas intraday trading was once evenly distributed, by the end of 2024, 10% of daily volume occurred within one minute of index closing. Exploiting Bloomberg Index’s closing-time change, we establish the causal impact of indexing. Liquidity improves at closing but declines during the rest of the day, yielding a net gain. Benefits reflect temporal clustering that facilitates dealer inventory management. However, during market stress, liquidity gains weaken or reverse.
Speaker
Prof. Qifei ZHU is an Assistant Professor of Finance at the National University of Singapore (NUS) Business School, National University of Singapore. His research covers the topics of investment management, institutional investors, sustainable finance, and ESG investing. He has published in top journals such as the Journal of Finance, the Journal of Financial Economics, Management Science, and the Review of Finance. His research has won numerous awards, including the Moskowitz Prize for the best paper in sustainable finance and the United Nations PRI Award for Outstanding Research.
Prior to joining NUS, he was an assistant professor at Nanyang Technological University. Qifei ZHU received his PhD degree from the University of Texas at Austin and his bachelor degree from Zhejiang University.
All are welcome!
