基于不同数据频率的公司债券市场流动性衡量  

Liquidity Metrics of Corporate Bond Market Based upon Data Frequency

作　　者：闵晓平[1] 罗华兴[2] 吕江林[2] 

机构地区：[1]北京交通大学中国产业安全研究中心,北京100044 [2]江西财经大学金融学院应用金融研究中心,江西南昌330013

出　　处：《证券市场导报》2015年第5期60-67,共8页Securities Market Herald

摘　　要：在考虑流动性维度效应的条件下,使用我国公司债券市场逐笔高频数据和日行情数据,对基于低频数据的流动性衡量与基于高频数据的流动性衡量之间的关系进行实证研究。研究发现:虽然在时间序列上和横截面上,基于不同数据频率的流动性衡量之间存在显著相关关系,但是,基于不同数据频率的流动性衡量之间存在显著差异。基于低频数据的单维度流动性衡量倾向于低估流动性水平,基于低频数据的多维度流动性衡量倾向于高估流动性水平。基于低频数据的流动性衡量不能预测基于高频数据的流动性衡量。Considering the effects of liquidity measuring, this paper empirically studies the relationship of the liquidity measuring on intraday and daily data in Chinese corporate bond market. The results show that although there exist significant strong time- series and cross-sectional correlations between liquidity measuring on the two different data frequencies, the differences between them are significant. The single-dimensioned liquidity measures on low-frequency data tend to underestimate liquidity level. The multiple-dimensioned liquidity measures on low-frequency data tend to overestimate liquidity level. The liquidity measures on low-frequency data can＇t predict the liquidity measures on high-frequency data.

关 键 词：公司债券 流动性 数据频率 

分 类 号：G10[文化科学] G14