流动性补偿、信息不对称与市场预期:央票发行对央票交易成本的影响分析

Liquidity Compensation, Information Asymmetry and Market Expectation:An Analysis of the Impact of Central Bank Bill issuing on Trading Cost

基于对经济正常波动时期与金融危机时期央票发行对央票交易成本的影响分析,结论表明央票交易成本中流动性成本显著高于信息不对称成本。在经济正常波动时期,央票发行顺应市场预期,央票发行并未引起流动性成本和信息不对称成本的显著变化;在金融危机时期,央票发行出乎市场预期,央票发行引起信息不对称成本显著增加,指令流自相关系数显著降低。而央票市场的信息不对称成本,主要来源于机构投资者对公开信息的解读不同。

This paper studies the impact of central bank bill issuing on bill trading cost during the normal economic fluctuation period and the financial crisis period. The results provide evidence that in the trading cost of the central bank bill the liquidity cost is significantly higher than the information asymmetry cost. During the normal economic fluctuation period, the issuing of the central bank bill can meet the market expectation, causing no clear changes in the liquidity cost or information asymmetry cost; while during the financial crisis period, the issuing of the central bank bill is out of the market expectation, resulting in significant increase in the information asymmetry cost and significant decrease in the autocorrelation coefficient of order flow. The information asymmetry cost in the central bank bill market is mainly due to the different interpretation of the public news by the institutional investors.