| Over the past decade,bond funds have experienced rapid growth,with the average annual increase in fund size reaching over 140% and the number of funds exceeding2,000 and the size exceeding 6 trillion.At present,the net asset value of bond funds accounts for more than a quarter of public funds,which is larger than that of equity funds and hybrid funds,and has a profound impact on the whole fund market.In recent years,although the fund size is at record high,at the same time,net redemptions of the whole fund industry are also increasing.How to prevent and hedge the liquidity risk of open-end funds and prevent the spillover of financial risks among different markets is an issue worthy of further investigation and urgency.In this paper,we focus on the liquidity of the fund’s asset structure and investigate whether the illiquidity of the fund’s asset holdings negatively affects the secondary market performance of its bond holdings,and attempt to elucidate the intermediate mechanism between the two.Based on this,this paper proposes four hypotheses through theoretical analysis,constructs an innovative bond-level vulnerability indicator,which represents the vulnerability of a fund’s illiquidity to its bond holdings,focuses on the impact of this vulnerability indicator on the secondary market price performance of bonds,and further analyzes this impact at the level of individual bond ratings and during the new crown epidemic as a natural experiment Heterogeneity at the level of different market conditions.Based on this,the paper attempts to elucidate the intermediate channels of this impact relationship by constructing bond-level selling pressure indicators as mediating variables to elucidate the mediating relationship between bond vulnerability generated by fund illiquidity and secondary market price volatility.In this paper,a fixed-effects panel regression model is developed for the empirical analysis,using quarterly panel data of 756 bond funds and 6,289 bonds held by funds from 2013 to the first quarter of 2022 as the study sample,including the WIND database and the Rex Financial database.The relationship between bond vulnerability and bond yield volatility arising from the illiquidity of fund assets is explored,and the heterogeneity analysis of bond credit ratings and market conditions is also included.Based on this,a mediation effect model is constructed,and both the traditional threestep test and the improved two-step test of the mediation model are used to empirically elucidate the role of bond selling pressure as a mediator between bond vulnerability and yield volatility.The following four conclusions are drawn:(1)The bond vulnerability arising from the illiquidity of fund assets has a positive impact on bond yield volatility,as funds with illiquid assets can only sell their bond holdings.(2)Other things being equal,the vulnerability of bonds with lower credit ratings will have a greater impact on bond yield volatility,and the vulnerability of bonds with lower credit ratings will have a more significant impact on bond yield movements.(3)Other things being equal,bond vulnerability has a greater impact on bond yield volatility during periods of high market uncertainty.In times of new crown epidemics,a large number of investors have low confidence in the market and redeem their fund shares,which results in funds with less liquid assets having to sell their bond holdings to meet liquidity needs,an action that leads to bond price volatility This behavior led to increased bond price volatility.(4)Bond selling pressure is the mediating variable between bond vulnerability arising from illiquidity of fund assets and bond yield volatility.The key source of bond yield volatility due to bond vulnerability arising from illiquidity of fund assets should be the link between vulnerability and bond selling by mutual funds holding bonds due to capital outflows. |
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