| 从分笔交易数据透视中国债券市场流动性 |
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| 引用本文： | 房海滨,刘凤霞.从分笔交易数据透视中国债券市场流动性[J].西南交通大学学报(社会科学版),2006,7(4):98-104. |
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| 作者姓名： | 房海滨 刘凤霞 |
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| 作者单位： | 天津大学管理学院,天津,300072 |
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| 摘 要： | 采用分笔交易数据,用相对买卖价差分析我国债券市场流动性,可以得出如下结论:各期限国债流动性差异不大,短期和长期国债流动性相对较好;国债买卖价差最小,可转债累计深度最大;债券市场流动性和波动性特征之间存在紧密的内在联系。
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| 关 键 词： | 债券流动性 流动性市场 债券市场 交易数据 |
| 文章编号： | 1009-4474(2006)04-0098-07 |
| 修稿时间： | 2006年4月13日 |
A Study on Bond Market Liquidity in China Based on the Real-time Trading Data |
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| FANG Hai-bin,LIU Feng-xia.A Study on Bond Market Liquidity in China Based on the Real-time Trading Data[J].Journal of Southwest Jiaotong Universit(Social Science Edition),2006,7(4):98-104. |
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| Authors: | FANG Hai-bin LIU Feng-xia |
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| Abstract: | This paper,adopting the real-time trading data,analyzes the bond market liquidity in China by means of proportional bid-ask spread.It can be concluded that there is no obvious discrepancy in liquidity across different treasury bonds,that the liquidity of short-term and long-term bonds is comparatively better,that treasury bonds have the least bid-ask spread and convertible company bonds have the largest cumulative depth,and that close relationship exists between the liquidity and the volatility in bond market. |
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| Keywords: | bond liquidity liquidity market bond market trading data |
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