上交所国债市场流动性溢价分析

Liquidity Premium Analysis of Treasury Bonds Market in Shanghai Stock Exchange

流动性溢价一直以来都是国际学术界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,以新券与旧券为分析对象,实证研究了新券与旧券的流动性溢价问题。发现旧券和新券在收益率上确实存在显著差异,旧券的收益率要高于新券的收益率。同时,本文又通过回归分析研究发现,旧券与新券的流动性差异对旧券与新券的收益率差异只有很小的解释能力,基本可以说明我国国债市场流动性溢价存在,但不是很显著。

The liquidity premium in securities markets has being studied widely by international scholars. This paper explores the liquidity premium between on- the- run bends and off- the- run bends using intra - day trading data from Shanghai Stock Exchange. Five - year Treasury notes, ten - year Treasury notes and twenty- year Treasury bends were examined respectively here. The results show a highly significant difference in yields between off- the - run bends and on- the- run bends, i. e. the yield of off- the - run is higher than that of on - the - run bends. In addition, this paper finds that the liquidity difference between the off- the- run and on- the- run can only partly explain the yield difference between them. So, we can conclude that the liquidity premium exists in China bend market but not well significant.