国债品种动态变化对流动性的影响  

The Influence of the Dynamics of Treasury Characteristics on the Liquidity

作　　者：苏罡[1] 杨朝军[1] 刘可新[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《东华大学学报（自然科学版）》2008年第5期631-635,639,共6页Journal of Donghua University(Natural Science)

基　　金：国家自然科学基金项目(70373053)

摘　　要：为了寻求提高流动性的有效途径,需要研究国债品种的动态变化与流动性的相互关系.以上交所和银行间国债市场的流动性测度指标作为因变量,通过合成数据模型分析剩余期限、距离付息日的期限和交易价格溢折价幅度对流动性的影响.国债付息带来现金流入,促进投资者在此前后参与交易,距离付息日越近,流动性越好;国债市场上涨易导致溢价,反之易导致折价,投资者在上涨时交易更为活跃,溢价国债流动性好于折价国债.在上交所国债市场,投资者偏好中长期国债,剩余期限较长的国债流动性较好;在银行间国债市场,投资者偏好中短期国债,剩余期限较短的国债流动性较好.In order to find effective methods for enhancing liquidity, research on relationships between the dynamics of treasury characteristics and liquidity is essential. With those liquidity measures in Shanghai Exchange and interbank market as dependent variables, Panel Data Model could be used to analyze the influence of remained maturity, time to interest paying date, and trading price （premium or discount） on the liquidity. Interest brings cash flow, which encourages investors to trade treasury more actively around the interest paying date. When the interest paying date is coming soon, treasure will enjoy better liquidity. Rising market leads to premium, and falling market leads to discount. Investors trade more actively in a rising market, so the liquidity of premium treasury is better than discount treasury. In Shanghai Exchange, treasury with longer remained maturity enjoy better liquidity. But in the interbank market, treasury with shorter remained maturity enjoy better liquidity.

关 键 词：国债市场 流动性 合成数据模型 

分 类 号：F830.91[经济管理—金融学]