Strategy Similarity and Bond Market Stability:A Mechanism Study Based on the Perspective of Concentrated Asset Selling
The concentrated selling behavior of bond investment institutions due to similar trading strategies is one of the impor-tant reasons for the violent volatility of China's bond market,and the network correlation greatly increases the possibility of a sin-gle point of risk quickly spreading to the entire bond market and even the entire financial system,especially when the market is down,the concentrated selling greatly exacerbates the price risk and liquidity risk of the market.This paper finds that when en-countering negative shocks,funds with higher strategy similarity show stronger concentrated selling behavior,indicating that strat-egy similarity is an important reason for the enhancement of bond market vulnerability,and there is a strong liquidity aggregation effect at the bond level in China's bond market,and there is a phenomenon that the selling intensity is affected by the liquidity dif-ference of the bonds held.This paper suggests that the similarity monitoring of speculative behaviors in the bond market,includ-ing leverage ratio and asset class preference,should be strengthened,the simplification tendency of the market and excessive risk concentration should be prevented,and the market should be appropriately guided to maintain diversification and differentiation to enhance the stability of the market.
Bond market stabilityInvestment strategy similarityNetwork correlationConcentrated selling by financial institu-tions
万方数据
维普
