国债市场新券和旧券流动性实证研究

On-the-Run and Off-the-Run Treasury Market Liquidity

新券和旧券流动性差异一直以来都是国际学术界被广泛关注与研究的问题。本文选择在上海证券交易所上市交易的7年期,10年期和20年期国债,利用日内交易数据,实证研究了新券与旧券的流动性问题。研究发现新券和旧券在流动性上存在显著的差异,新券的流动性要明显好于旧券的流动性。论文对产生差异的原因进行了分析。

The liquidity difference between on-the-ran and off-therun treasury securities has been studied widely by international scholars. This paper explores the liquidity difference between on-the-run and off-the-run treasury securities of 7-year and 10-year notes listed on Shanghai Stock Exchange, using intra-day trading data from Shanghai Stock Exchange. Studies reveal that a highly significant difference in liquidity between on-the-run bonds and off-the-ran treasury securities, suggesting that the liquidity of on- the-run treasury securities is better than that of off-the-run securities. Analysis is made on this phenomenon.