摘要
市场流动性是一个隐性变量,可以通过买卖差价、市场深度、交易金额以及交易次数等指标测定。本文分别测算出各个指标,通过等级相关分析及其主成分分析,全面展示2002年6月至2004年5月以来,银行间市场国债现券的流动性状况,并解释银行间市场流动性变化的原因。同时,本文对不同期限的国债流动性进行WILCOXON非参数秩合检验,发现中期国债流动性水平显著高于长期国债,市场成交期限分化趋势加重。
Market liquidity is determined by several factors, such as bid-ask spread, market depth, trade volume and trade frequency. Based on the F-system high frequency data, we deeply discuss the liquidity of Inter-Bank bond market. Some Correlation analysis and Principal-Components Analysis are provided to score the index as a whole. Also, Wilcoxon rank-sum is utilized to compare the bond liquidity of different periods. The result shows that liquidity of medium-term bond is more remarkable than that of long-term bond.
出处
《管理评论》
2006年第2期3-9,共7页
Management Review
基金
中国科学院研究生院院长基金项目资助(YZJJ200307)。
