中国信用债综合流动性指标构建:引入最优双边报价价差的Hui-Heubel流动性比率  

Comprehensive Liquidity Indicators for Chinese Credit Bonds: Introducing the Hui-Heubel Liquidity Ratio with Optimal Bilateral Quoted Spreads

作　　者：蔡之雨 李家香 刘文雄 马健 CAI Zhiyu;LI Jiaxiang;LIU Wenxiong;MA Jian(Ping An Bank)

机构地区：[1]平安银行资金运营中心本币信用交易团队 [2]平安银行资金运营中心系统规划室 [3]平安银行金融科技部资金同业研发中心 [4]平安银行资金运营中心

出　　处：《金融市场研究》2025年第1期96-102,共7页Financial Market Research

摘　　要：当前我国信用债市场参与者主要依赖交易量或换手率等传统单一指标进行流动性评估,缺乏一个综合科学的流动性评价指标来直观体现个券的真实流动性。为此,本文基于Hui-Heubel流动性比率,加入市场最优双边报价价差,建立信用债流动性评价模型,可以对不同发行主体、不同时间段的个券进行流动性比较,且个券指标结果支持分组统计,可以在横向与纵向上对比发行人、债券品种、时间段之间的信用债流动性变化。该指标有其实用性,指数编制机构、发行人、投资人以及监管机构均可以借助评分结果,更准确地了解信用债二级市场的流动性状况,支持信用债业务的相关决策。Participants in China's credit bond market mainly rely on traditional indicators such as trading volume or turnover rate to assess market liquidity and lack a comprehensive scientific liquidity evaluation index to visualize the real liquidity of individual bonds.This paper establishes a credit bond liquidity evaluation model,which can compare the liquidity of individual bonds of different issuing entities and different time periods.The paper is based on the Hui-Heubel liquidity evaluation model and adds the optimal bilateral market offer width. Additionally,the results of individual bond indexes support the grouping statistics,which can compare the changes in the liquidity of credit bonds according to the bond issuer,bond type,and the time period in both horizontal and vertical aspects.The index is a practical tool that index compilers, issuers,investors and regulators can use to more accurately understand the liquidity status of the secondary market for credit bonds,This in turn supports the decision-making related to credit bond business.

关 键 词：信用债 流动性评价指标 双边报价 

分 类 号：F832.51[经济管理—金融学]