Pricing and Liquidity of Fixed Income ETFs in the Covid-19 Crisis of 2020

Price Discovery: The presence of lag effects in Net Asset Values Autocorrelation Function for LQD 1/2/20-4/30/20 1.0 8'0 0.6 0.4 0.2 -0.2 0.0 1.0 0 -0.2 0.0 0.2 0.4 0.6 0.8 Lag Autocorrelation Function for HYG 1/2/20-4/30/20 0 5 BlackRock 10 5 T 10 15 Lag 15 Source: BlackRock, based on daily NAV returns from Bloomberg Daily NAV-Based Returns Exhibit Positive Correlation to the Previous Day's NAV Return. Daily ETF Total Returns Have Tended To Be Uncorrelated To Past Returns. ICRMH0920U-1319728-6/13

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