从分笔交易数据透视中国债券市场流动性  

A Study on Bond Market Liquidity in China Based on the Real-time Trading Data

作　　者：房海滨[1] 刘凤霞[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《西南交通大学学报（社会科学版）》2006年第4期98-104,共7页Journal of Southwest Jiaotong University(Social Sciences)

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。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.

关 键 词：债券流动性 流动性市场 债券市场 交易数据 

分 类 号：F832.51[经济管理—金融学]