RT Journal Article
SR Electronic
T1 Municipal Bond Trading, Information Relatedness, and Natural Disasters
JF The Journal of Trading
FD Institutional Investor Journals
SP 24
OP 43
DO 10.3905/jot.2018.1.063
VO 13
IS 3
A1 Brittany Cole
A1 Bonnie Van Ness
A1 Robert Van Ness
YR 2018
UL https://pm-research.com/content/13/3/24.abstract
AB The authors study municipal bond market activity before, during, and after natural disasters (tornadoes, wildfires, and hurricanes/tropical storms). Using a sample of municipal bond trades from 2010 to 2013, they find that natural disasters influence municipal bond trading. Specifically, they show that spreads are lower on both tornado and wildfire event days and during the following five trading days than during the preceding five trading days. Although the study does not document a relationship between hurricane events and spreads, the authors show that spreads fall during the five days following the hurricane compared with the five trading days before the event. Generally, the study shows an increase in dollar volume in the five trading days following all three types of natural disasters. The authors also find linkages between the bonds affected by natural disasters and related bonds.TOPICS: Fixed income and structured finance, tail risks