私人信息、订单流不平衡与国债收益率——基于固定收益平台的实证研究

Personal Information, Order Flow Imbalance and Treasury Bonds Yield:An Empirical Study based on Fixed Income Platform

本文采用日内数据,利用订单流不平衡作为衡量交易行为的指标,对固定收益平台国债交易商市场全部交易日、非信息公开交易日订单流不平衡与国债收益率的关系以及订单流不平衡在国债交易商市场价格发现中的信息功能进行了实证研究。结果显示,固定收益平台国债交易商市场的订单流不平衡包含一定的私人信息,中短期订单流不平衡对国债收益率的冲击作用较为持久,而长期订单流不平衡对国债收益率的冲击作用并不明显,说明订单流不平衡影响国债价格形成的信息机制存在,以一级交易商为核心的固定收益平台国债交易商市场的价格发现效率仍有待提高。基于这些结论,本文最后提出了相关政策建议。

By using intra-day data and introducing order flow imbalance as the indicator to measure trading behavior,the article conducts em pirical studies on the relationship between order flow imbalance and Treasury bonds yield in Treasury bonds traders market on fixed income plat form,respectively on all trading days and non-publicly trading days,and on the informative function of order flow imbalance in the price discovery of Treasury bonds traders market.The results show that the order flow imbalance in Treasury bonds traders market on fixed income platform in cludes certain amount of personal information,that the mid-short term order flow imbalance has a more lasting impact on Treasury bonds yield,while long-term order flow imbalance has insignificant impact on Treasury bonds yield.It reveals the existence of informative mechanism that order flow imbalance affects the price formation of Treasury bonds,and that the efficiency of price discovery of Treasury bonds traders market on fixed income platform,which takes primary dealers as the core,is yet to be improved.Based on these conclusions,the article finally puts forward relevant policy recommendations.