银行间债券市场流动性研究被引量：32

The Research of Liquidity of Bond Market between Banks

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摘要 According to the financial market microstructure theory,this paper uses bid-ask spread of bilateral quotes to measure the treasury bond liquidity,and conducts an empirical study on the weekly patterns of the Interbank Bond Market liquidity and determinants that affect treasury bond liquidity.The empirical study finds that there is no significant difference among the treasury market liquidity at different time.In addition,the factors that affect the treasury bond liquidity include trade size,transaction price,risk(volatility of quotes),maturity and issue size. According to the financial market microstructure theory,this paper uses bid-ask spread of bilateral quotes to measure the treasury bond liquidity,and conducts an empirical study on the weekly patterns of the Interbank Bond Market liquidity and determinants that affect treasury bond liquidity.The empirical study finds that there is no significant difference among the treasury market liquidity at different time.In addition,the factors that affect the treasury bond liquidity include trade size,transaction price,risk(volatility of quotes),maturity and issue size.

作者朱世武许凯

机构地区清华大学经管学院金融系

出处《统计研究》 CSSCI 北大核心 2004年第11期41-46,共6页 Statistical Research

关键词银行间债券市场流动性研究

分类号 F832 [经济管理—金融学]

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