中国银行间债券市场企业债交易成本研究

A Study on Corporate Bond Transaction Cost for Chinese Inter-bank Bond Market

建立度量银行间债券市场企业债交易成本的2步估计模型,利用企业债分笔交易数据,分别估计108支企业债的交易成本,从整体上考察了企业债市场交易成本情况。结果表明,交易成本随交易规模的增加而减小,交易活跃性、剩余期限和信用评级都影响企业债的交易成本,交易活跃、剩余期限短和信用评级高的企业债交易成本相对较低。企业债交易成本呈现以上特征的原因在于银行间债券市场特有的交易机制。为进一步降低企业债的交易成本,监管部门应加强市场透明度的监管力度。

The two-step model of measuring corporate bond transaction cost in the inter-bank bond market is built in this paper. Using tick by tick data of inter-bank bond market, we estimate 108 corporate bonds transaction costs separately and investigate the average transaction cost of the whole corporate bond market. The results indicate that transaction cost decrease significantly with trade size becoming larger. Transaction activity, maturity and rating are determinants of transaction cost. The more active bonds, bonds close to maturity and highly rated bonds have lower transaction cost than other bonds. Such characteristics result from the special trading mechanism of inter-bank bond market. In order to lower transaction cost, the regulator should increase the inter-bank bond market transparency.