我国债券市场流动性实证研究

从流动性的宽度、深度和速度的角度,对银行间债券市场和交易所债券市场的流动性进行量化分析,分析中使用即时交易成本衡量模型衡量流动性宽度,分别用换手率、交易频率衡量流动性的深度和速度,并尝试用Amivest流动性比率和Martin指数从价、量结合角度考察市场流动性。研究显示,两个市场流动性存在着明显的结构性差异:交易所债券市场具有较优的流动性宽度和速度,银行间债券市场在流动性深度和稳定性上更胜一筹。因市场容量不同所致,两个市场在流动性深度上的差异更为突出。

An Empirical Research on the Liquidity of China’s Bond Market

From the dimensions of width,depth and speed,the paper conducted an empirical investigation between interbank and exchange bond market.The analysis used real-time transaction cost measurement model to measure the liquidity width,respectively,with turnover and trading frequency to measure the liquidity depth and speed,and try Amivest liquidity ratio and Martin index from the price,quantity combined with the perspective of market liquidity.Studies have shown that,the two markets have significant structural differences on the liquidity.The exchange bond market has a better mobility in the liquidity width and speed while the interbank bond market is superior in the liquidity depth and stability.Due to the difference of market capacity,the difference of the two markets in the depth of liquidity is more prominent.