现券市场做市报价点差的微观特征分析

An analysis of the micro characteristics of quotation spreads among market makers in the bond market

交易机制与价格发现的关系一直是金融市场微观结构的重要研究方向,其目的是为了发现金融市场如何借由微观行为的不均衡实现市场层面的价格均衡过程。事实上,交易机制、交易习惯和市场均衡过程三者之间是相互影响的关系。分析和研究这三者的内在联系可以加深我们对市场的理解,并找到提高市场资源配置效率的途径。文章以做市报价收益率点差作为研究对象,详细分析了其时间分布、相关性、波动性及时间持续性等微观特征,为深入研究做市商报价和交易行为提供各种可能的切入点。

The relationship between the trading mechanism and price discovery is invariably an important research topic in considering the micro structure of financial markets,the aim of which is to establish how financial markets drive the process of moving from imbalanced conduct at the micro level to price equilibrium at the market level.In practice,the relationship among the three aspects of the trading mechanism,trading habits and market equilibrium is interactive.We can deepen our understanding of the market by studying the internal relationship between the three abovementioned aspects,and find a path for enhancing the efficiency of market resource allocation. Based on research into market makers＇ yield spreads,this article analyzes in detail their micro characteristics of time distribution, relevancy,volatility,time duration and others,and provides several potential starting points for in-depth research in the quotations and trading activities of market makers.