增强透明度对我国银行间债券市场信息效率的影响——以交易信息对流动性的影响为例

The Effect of Enhancing Transparency on the Information Efficiency of Inter-bank Bond Market

证券市场透明度包括交易价格信息和交易量信息的透明,其中,交易价格信息主要包括平均交易价格和交易价格的方差;交易量信息包括平均交易量和交易量的方差。然后,通过将宏观经济机制研究中的信息效率原理引入到银行间债券市场,实证检验增强透明度对我国银行间债券市场信息效率的影响。结果表明,在现阶段市场容量扩大较快的情况下,增强透明度会降低我国银行间债券市场平均价格、平均交易量及交易量的方差影响流动性的信息效率,但对价格的波动性影响流动性的信息效率无明显影响。根据银行间债券市场发展中继续提高流动性及风险分担能力等方面的要求,我们仍需继续稳步增强银行间债券市场的透明度,同时,为在现有市场容量快速扩大的条件下提高我国银行间债券市场的信息效率,在坚持融资工具创新的同时,还应该通过发展信用衍生产品等方式,提高债券产品间的同质性。

The transparency of securities market includes the transparency of both information of trading price and trading volume. In the paper, the author introduces the principles of information efficiency in the research c mechanism to the inter-bank bond market and then empirically tests the effect of enhancing transparency on the information efficiency in the inter-bank bond market. The result shows that in the case of rapid expansion of market capacity, enhancing of transparency will reduce the information efficiency of the effect of average price, average volume and variance of trading volume on the liquidity, but no significant effect on the information efficiency of the effect of price volatility on the liquidity. According to the requirement of improving the liquidity and risk allocation, it is necessary to further enhance the transparency in the inter-bank bond market. At the same time, in order to improve the information efficiency in the inter-bank bond market, we should increase the homogeneity among bond products by developing credit derivatives and financing instrument innovation.