摘要
本文运用逐笔报价动态调整模型,对银行间债券市场的价格发现过程进行实证研究,发现报价持续期是影响债券价格波动性与交易信息含量的重要因素。对不同做市商报价的信息份额进行对比发现,总体上外资银行报价的信息含量高于我国银行,而我国全国性商业银行报价的信息含量高于城市商业银行。
This paper adopts a tick time model for the quote setting dynamics on inter-bank bond market to empirically explore the price discovery process in bonds. We find both the price volatility and the information contents of quotes depend on quote duration. The comparison of information shares between different market makers shows that foreign banks’ quotes have more information content than that of domestic banks, and quotes of national commercial banks have more information content than that of city commercial banks. Upon these, some suggestions have been proposed.
出处
《证券市场导报》
CSSCI
北大核心
2010年第7期16-23,共8页
Securities Market Herald
