PT - JOURNAL ARTICLE AU - Stephen Laipply AU - Ananth Madhavan TI - Pricing and Liquidity of Fixed Income ETFs in the Covid-19 Virus Crisis of 2020 AID - 10.3905/jii.2020.1.096 DP - 2020 Nov 30 TA - The Journal of Index Investing PG - 7--19 VI - 11 IP - 3 4099 - https://pm-research.com/content/11/3/7.short 4100 - https://pm-research.com/content/11/3/7.full AB - We show that during the 2020 Covid-19 crisis: (a) Bond ETFs acted as vehicles of price discovery, and with prices often close to their intrinsic values, despite deviations from net asset value (NAV) that at times were large; (b) Bond ETFs allowed investors to rapidly and efficiently manage exposure and risk at low costs; and (c) Contrary to some academic theories, there is no evidence of “wrong way” arbitrage.TOPICS: Exchange-traded funds and applications, exchanges/markets/clearinghouses, volatility measuresKey Findings• During the 2020 Covid-19 crisis, bond ETFs acted as vehicles of price discovery, and with prices often close to their intrinsic values, despite deviations from net asset value (NAV) that at times were large.• Bond ETFs allowed investors to trade in the secondary market, and to rapidly and efficiently manage exposure and risk at low costs.• The primary market where ETF shares are created and redeemed also functioned smoothly, with no evidence that the arbitrage activities of authorized participants were destabilizing.