题　目：The Growing Index Effect in the Corporate Bond Market

嘉　宾：祝启飞 副教授 新加坡国立大学

主持人：万相伟 副教授 上海交通大学安泰经济与管理学院

时　间：2026年4月29日（周三）13:30-15:00

地　点：上海交通大学 徐汇校区安泰浩然楼306

内容简介:

Leveraging transaction data and AI-powered price estimates, we show that index-driven trading, fueled by the rapid growth of investment funds in the corporate bond market, has reshaped market dynamics and liquidity. Whereas intraday trading was once evenly distributed, by the end of 2024, 10\% of daily volume occurred within one minute of index closing. Exploiting Bloomberg Index’s closing-time change, we establish the causal impact of indexing. Liquidity improves at closing but declines during the rest of the day, yielding a net gain. Benefits reflect temporal clustering that facilitates dealer inventory management. However, during market stress, liquidity gains weaken or reverse. 

演讲人简介：

Qifei Zhu is an associate professor of finance at the NUS Business School. He received his PhD in Finance from the University of Texas at Austin. Qifei is a highly productive and influential researcher in finance, with a strong publication record in top-tier journals. His research areas include institutional investors, bond mutual funds, and sustainable finance, where he has built an excellent international reputation. He has published extensively in leading journals such as the Journal of Finance, Journal of Financial Economics, Management Science, and Review of Finance, including numerous sole-authored and award-winning papers. His work is widely cited by academics, policymakers, and regulators, and he has received prominent awards like the Moskowitz Prize and the PRI Outstanding Research Award. 

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