Cover Global Financial Stability Notes
Buy Book in Print
Fund Investor Types and Bond Market Volatility
Author:
Benjamin Mosk
Search for other papers by Benjamin Mosk in
Current site
Google Scholar Close
,
Felix Suntheim https://isni.org/isni/0000000404811396 International Monetary Fund

Search for other papers by Felix Suntheim in
Current site
Google Scholar Close
,
Yuhua Cai
Search for other papers by Yuhua Cai in
Current site
Google Scholar Close
, and
Anna-Theresa Helmke
Search for other papers by Anna-Theresa Helmke in
Current site
Google Scholar Close
Series:
Global Financial Stability Notes
Volume/Issue:
Volume 2025: Issue 002
Language:
English
Publication Date:
12 Mar 2025
DOI:
https://doi.org/10.5089/9798229003087.065
ISBN:
9798229003087
ISSN:
2791-3112
Pages:
25
Keywords:
Global Financial Stability; Bond Market Volatility; Exchange-Traded Funds; Open-Ended Mutual Funds; Institutional Investors; Retail Investors; Market Stress; ETF share; ownership share; fund investor type; Securities markets; Corporate bonds; Bonds; Mutual funds; Financial sector stability; Global
Legal-disclaimer:
The views expressed are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (3 MB) Download Epub
This note explores the connection between the varied investor profiles of exchange-traded funds (ETFs) and open-ended mutual funds (OEMFs) and the return volatility of the securities they hold. Based on the security-level data of US ETF and OEMF holdings, the analysis suggests that, on aggregate, a higher ETF ownership share may be associated with lower bond return volatility. However, there is a stark divergence between the behavior of institutional and retail ETF investors and their impact on the underlying market. When a larger share of a bond is owned by institutional investors through ETFs, its volatility tends to be higher. Conversely, retail investors tend to offset this impact of institutional investors. This disparity is not evident for OEMFs.
  • Collapse
  • Expand
Cover Global Financial Stability Notes
Global Financial Stability Notes
ISSN:
2791-3112
Publisher:
International Monetary Fund